买断式回购定价和做空机制分析

The Pricing of Outright Bond Repo and the Short Hedge Mechanism Analysis

本文通过分析买断式回购的现金流特征,运用无套利定价方法给出了买断式回购的定价方程,并研究了外在市场参数保证金率和内在资产特征波动率对价格的影响,在此基础上讨论了保证金率和标的资产特征波动率对发挥做空机制的作用。我们认为,在其他条件不变的情况下,买断式回购合约价格是保证金率的增函数,是波动率的减函数。做空机制的保证金率的提升对于改善做空机制效果作用不大,买断式回购做空机制效果随着波动率增大而会显著提升。文章最后就如何发挥买断式回购的做空机制作用,改善买断式回购市场交易现状提出了政策建议。

This paper provides a pricing equation of outright bond repo in terms of its cash flow characters by no arbitrage pricing means.We also focus on influence of market parameters and volatility on the price,and further study how margin and volatility improve short hedge mechanism efficiency.It is found that the price of outright bond repo is increasing function of margin rate and decreasing function of volatility.The effect of margin rate increasing is not significant to make short hedge mechanism more efficient,while the effect of volatility increasing is distinct.On the basis of the analysis,we give some suggestions on how to improve short hedge mechanism,and how to push up outright bond repo trading.