According to the financial market microstructure theory,this paper uses bid-ask spread of bilateral quotes to measure the treasury bond liquidity,and conducts an empirical study on the weekly patterns of the Interbank...According to the financial market microstructure theory,this paper uses bid-ask spread of bilateral quotes to measure the treasury bond liquidity,and conducts an empirical study on the weekly patterns of the Interbank Bond Market liquidity and determinants that affect treasury bond liquidity.The empirical study finds that there is no significant difference among the treasury market liquidity at different time.In addition,the factors that affect the treasury bond liquidity include trade size,transaction price,risk(volatility of quotes),maturity and issue size.展开更多
The rapidly growing credit derivatives market requires to value credit derivatives and portfolios of credit risks,and how to measure the correlation between each credit risk is the key problem of valuation.In this pap...The rapidly growing credit derivatives market requires to value credit derivatives and portfolios of credit risks,and how to measure the correlation between each credit risk is the key problem of valuation.In this paper,we introduce a new technology——Copula function——to integrate single credit risk,and discuss how to use copula function to manager portfolios of credit risks and value credit derivatives. Credit risks are the main problems for Chinese banks.Credit derivatives have a function to transfer credit risks,Credit derivatives market grows very quickly,they are sure to become a very important part of financial market.Study the valuation techniques for credit derivatives,design appwpriate derivatives for Chinese financial institutions,and seek useful methods to mangage credit risks are helpful to improve the benefits and asset quality of Chinese commercial banks.展开更多
Investing in bonds is always a very important part of securities investment.In the foreign advanced financial markets,excellent bond investment strategies bring high returns to different kinds of bond investment funds...Investing in bonds is always a very important part of securities investment.In the foreign advanced financial markets,excellent bond investment strategies bring high returns to different kinds of bond investment funds.As China’s bond market is developing very fast,the type of bonds increased gradually and various bond investors are growing up day by day.Under this background,how to apply foreign mature bond investment strategies to China’s bond market has been a very hot topic discussed by different kinds of investment institutions.From the government’s aspect,utilizing the mature bond investment strategies will also help to normalize the bond investment behaviors and enhance the connection between domestic and overseas bond markets.This paper focuses on the active bond investment strategies based on interest rate term structure analysis.These active bond investment strategies include riding the yield curve and forecasting the bond excess returns.Using trading data of treasury bills and treasury bonds traded in Exchange,this paper validates all of these investment strategies and proves that they can be successfully applied to China’s bond market and make obvious profits.Different bond investors can use these investment strategies mentioned above according to their investment targets and restrictions.展开更多
文摘According to the financial market microstructure theory,this paper uses bid-ask spread of bilateral quotes to measure the treasury bond liquidity,and conducts an empirical study on the weekly patterns of the Interbank Bond Market liquidity and determinants that affect treasury bond liquidity.The empirical study finds that there is no significant difference among the treasury market liquidity at different time.In addition,the factors that affect the treasury bond liquidity include trade size,transaction price,risk(volatility of quotes),maturity and issue size.
文摘The rapidly growing credit derivatives market requires to value credit derivatives and portfolios of credit risks,and how to measure the correlation between each credit risk is the key problem of valuation.In this paper,we introduce a new technology——Copula function——to integrate single credit risk,and discuss how to use copula function to manager portfolios of credit risks and value credit derivatives. Credit risks are the main problems for Chinese banks.Credit derivatives have a function to transfer credit risks,Credit derivatives market grows very quickly,they are sure to become a very important part of financial market.Study the valuation techniques for credit derivatives,design appwpriate derivatives for Chinese financial institutions,and seek useful methods to mangage credit risks are helpful to improve the benefits and asset quality of Chinese commercial banks.
文摘Investing in bonds is always a very important part of securities investment.In the foreign advanced financial markets,excellent bond investment strategies bring high returns to different kinds of bond investment funds.As China’s bond market is developing very fast,the type of bonds increased gradually and various bond investors are growing up day by day.Under this background,how to apply foreign mature bond investment strategies to China’s bond market has been a very hot topic discussed by different kinds of investment institutions.From the government’s aspect,utilizing the mature bond investment strategies will also help to normalize the bond investment behaviors and enhance the connection between domestic and overseas bond markets.This paper focuses on the active bond investment strategies based on interest rate term structure analysis.These active bond investment strategies include riding the yield curve and forecasting the bond excess returns.Using trading data of treasury bills and treasury bonds traded in Exchange,this paper validates all of these investment strategies and proves that they can be successfully applied to China’s bond market and make obvious profits.Different bond investors can use these investment strategies mentioned above according to their investment targets and restrictions.
