利率与信用风险耦合评价模型与实证研究-企业管理专业论文.docxVIP

华 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract Interest rate risk of bond is result from the fluctuations of interest rate,which is the main risk in investing bonds.However,credit risk needs investors pay more attentions in recent time.Lots of researches have be done in interest rate risk or credit risk respectively,but this paper researches them together. First,the paper introduced many financial risk management theories,including interest rate term structure theories and credit risk pricing modles.Then,it researched interest risk and credit risk respectively.When researching interest risk,it used Macaulay Duration and Convexity Modle,and it researched Vasicek Modle as well in details. When researching credit risk,it used credit risk evaluating modles, especially KMV Modle.Finally,the paper established a modle which coupling interest rate risk and credit risk using Monte Carlo simulations and Copula functions.Based on the theories,the paper also researched actual bond:08 JIN DI ZHAI.By comparison of VaR of the new modle and old modles,the paper got the conclusion:credit risk could impact the bond value significantly. Interest rate risk and credit risk are two important areas in bond investing.This paper researched the possibility of coupling them together.Although the modle used might not be suitable in China,it could be a meaningful try. Key Words: Interest rate risk Credit risk Coupling risk Bond investing PAGE IV PAGE IV 目 录 摘 要 ············································································· I Abstract ············································································· II 1 绪 论 1.1 研究主题及背景 ····························································· (1) 1.2 风险分类与风险管理 ······················································· (2) 1.3 本文研究路径 ································································ (5) 1.4 本文的创新点 ································································ (6) 2 文献综述 2.1 利率期限结构 ····································