Shibor定价理论模型研究及其应用

On the Application of Shibor Pricing Theory Model

作为中国的"Libor",上海银行间同业拆放利率(Shibor)的推出对于利率市场化进程有重要意义。自推出以来不到两年的时间里,其基准性地位基本得到确立。但是,由于Shibor定价缺乏理论模型和实践经验的指导,报价随意性较大,导致商业银行Shibor定价能力弱和报价基准性差,制约了Shibor基准的公正性和应用价值。本文通过分析Shibor的运行机理,运用数理方法提出了一种可用的Shibor定价模型,并通过实际数据对模型进行了检验、分析和修正。

Shanghai Inter-bank Offered Rate （Shibor）, which is called as the ＂Libor＂ in China, has significance for the marker-based interest rate reform in China. It has obvious achievements since the Shibor introduced in the two years. However, as the absence of theoretical model and the practice guidance, it is difficult for commercial banks to quote the price. Therefore, the fairness and applications of the Shibor are greatly restricted. Finally, the authors propose a practicable pricing model of Shibor through mathematical method and test the model by empirical data.