利率结构

本文的定价模型结合了中国人口死亡率的特点，并且考虑了不完全竞争市场和利率结构两方面因素，模型的结果更具普遍适用性。

This model combines the characteristics of the Chinese population , and consider two aspects of the structure of interest rates in the incomplete market conditions , to build a long-term bond pricing model expression has more obvious advantages .

在无风险利率结构的基础上进行扩张，引入浮动利率结构模型。

This paper extends on the base of risk-free interest rate structure and introduces the model of floating interest rate structure .

市场化要求优化现有的期限结构、所有权结构、品种结构、利率结构等

It requires consummating the structures of deadline , ownership variety and interest rate .

利用Gray提出的一般利率结构转换模型对中国银行间30天同业拆借利率进行实证研究，发现中国银行间30天同业拆借市场确实存在结构转换现象。

In this paper we made use of the general regime-switching model proposed by Gray and the data of the 30-day inter-bank market of China to study the behavior of the interest rates . After research , we found that there did exist regime-switching in the market .

一个基于水平模型的利率结构转换模型

A Regime-Switching Model of Interest Rates Based on the Level Models

浮动利率结构下的远期定价与风险管理

Forward Price and Risk Management with the Structure of Floating Rate

中国银行间同业拆借市场利率结构转换研究

An Analysis on Regime-Switching of Interest Rate in the Inter-Bank Market of China

长期以来形成的利率结构刚性，不但与商业银行的经营目标相悖，而且也不利于经济增长市场化行为的建立。

The rigidity of interest structure that was formed during long period is not consistent with the goal of commercial banks and does no good for economy growth .

提出了资产负债管理的利率结构对称原理，通过控制持续期缺口和免疫条件来控制利率风险，保护银行股东权益的安全。

An interest rate structure symmetry theory is presented . The duration gap and immunity conditions are adopted to control the interest rate risk and protect the equity rights .

包括触发机制设计、返本息比例设计、期限结构设计、利率结构设计、选择发债时机的机制设计、区域结构设计和风险结构设计等七种结构设计。

There are trigger design , compensation rate design , term structure design , interest structure design , bond issuing timing design , district design and risk structure design .

指出当务之急是商业银行从自身经营状况出发，针对现实的利率结构，实行利率风险管理。

It points our that the top priority task of commercial banks is to implement the management of interest rate in the light of the existing structure of interest rate on the base of their own operation situations .

在产权制度质量改善的基础上，国家整体金融制度环境质量会提升，进而推动整个金融系统中金融机构公平有序竞争，并有利于利率结构调整。

On the basis of improving the property right institution quality level , the whole country financial institution environment quality improves , it will lead to the whole financial institution financial institutions fair and orderly competition , also helpful for structure adjustment .

将利率结构对称原理引入银行资产组合优化，解决了资产与负债利率的协调和匹配问题，使银行股东的权益在市场利率发生变化时不受到影响和损失，并解决了决策模型的服务对象问题。

The interest rate structure symmetry is introduced into the optimization of bank assets portfolio . The proposed method solves the harmonization and match problem , and protects the bank equity against the effect and loss while the market interest rate changes .

当前我国金融市场利率结构仍是由法定利率和市场利率组成的双轨制，至今尚未形成以某一基准利率为核心的市场利率体系。

At present , the structure of our country financial market interest rate system is still a two-track system which is composed of the state rate and the market rate . Until now , the system has not yet forms its benchmark interest rate .

这三层次的利率结构中金融市场利率是利率市场化的核心，中央银行的再贴现率是整个利率的基准，而金融机构的存贷款利率是利率市场化影响的主体。

Among these there interest rate structure , central bank rediscount is the basis of the interest rate , financial market rate is the core interest rate after interest rate liberalization , while the deposit-withdrawl rate of financial unit is the body of influence of the liberalization .

利率的结构转换模型是对Vasicek模型和CIR模型的推广

The regime-switching model about interest rate extends Vasicek and CIR models .

利率期限结构（termstructure），是某个时点不同期限的利率所组成的一条曲线。

Term Structure is the curve formed by interest rates of different maturities .

基于B样条对国债利率期限结构的实证研究

Fitting the Term Structure of Interest Rate of Bond with B Spline

对利率期限结构的估计可以有许多方法，其中包括息票剥离法（BootStrapMethod）和样条估计法（splineApproximation）。

There exist many methods to estimate to term structure , which include the bootstrap method and spline approximation .

修正的FH利率期限结构模型

A Note on the FH Model of Interest Term Structure

中国加入WTO必将大大加快金融市场的发展，为应对这种挑战，本文对利率期限结构模型进行了理论分析和实证估计。

Since the entering of WTO will hasten the development of China financial market greatly , we need an analysis of term structure models for China .

国外同业拆借利率期限结构影响因素的实证分析&以美元LIBOR为例

Factor analysis on the term structure of inter-bank offered rate abroad

因此，本文主要采用了DNS模型来对利率期限结构曲线进行拟合。

Therefore , this paper mainly uses the DNS model to fit the term structure curve .

但本文建议基于较高的稳定性，Powell的B样条函数拟合的利率期限结构可以作为参照。

In addition , the term structure fitting using Powell B-spline function can be used as the reference because of its higher stability .

基于VRP方法的上交所国债利率期限结构拟合模型

VRP fitting model for the term structure of SSE T-bonds

两因子CIR模型对上交所利率期限结构的实证研究

Modeling term-structure of yields in SSE with two-factor CIR model

基于Shibor的利率期限结构预期理论研究

Test of the Expectation Theory of the Term Structure of Shibor

骑乘收益率曲线策略的研究基于对利率期限结构的分析，本文使用了B样条拟合国债隐含的利率期限结构，并比较了策略在不同期限的债券、不同持有期的情况下的不同表现。

For analyzing the term structure in Riding the yield curve , B-spline is used to fit the interest rate term structure implied by treasury bonds . Performance is compared between bonds with different maturity and different holding period .

各宏观经济因素在10%的显著性水平下均是利率期限结构的Granger原因，而利率期限结构却不是各宏观经济因素的Granger原因。

In the 10 % level of significance , Macroeconomic are the Granger cause of interest rate term structure , but the converse is not established .

以B样条为基点，综合研究利率期限结构的样条估计模型，对多种样条模型进行理论推导和参数估计求解，并在此基础上做出实证比较分析。

Using the B-spline basis , this paper presents a comprehensive research on the spline-based estimation models of the term structure of interest rates . Theoretical derivation and parameters ' estimation are given , based on which an empirical comparison is made furthermore .