交易所与银行间债券市场动态风险及差异性

Study on Dynamic Risks and the Differences between Exchange Bond Market and Inter-bank Bond Market

为全面揭示风险和有效管理风险,针对具有显著差异的交易所债券市场与银行间债券市场分别进行动态风险测度,并比较它们的差异性,研究结果表明:胖尾分布和有偏性成为提高债券市场风险测度准确性的关键典型事实;2008年国际金融危机期间债券市场受到危机的冲击导致风险显著增大;交易所债券市场、银行间债券市场风险总体走势基本一致,但银行间债券市场的峰值风险显著高于交易所债券市场的峰值风险,而除峰值风险外,交易所债券市场的风险普遍大于银行间债券市场的风险;银行间债券市场峰值风险一般都滞后于交易所债券市场峰值风险。

In order to disclose risks and effectively manage risks, dynamic risks have been measured respectively and the differences have been compared between exchange bond market and inter-bank bond market, which are significantly different. The results show that fat-tailed distribution and skewed distribution are key stylized facts to improve the accuracy of risk measurement in bond markets, and that the bond markets have been shocked and the risks significantly rise during international financial crisis in 2008, and that the trend of risk in exchange bond market and inter-bank bond market are roughly consistent and the peak risk in inter-bank bond market is significantly higher than that in exchange bond market, and the risk in exchange bond market is higher than that in inter-bank bond market in general except peak risk, and that peak risk in inter-bank bond market usually lags behind peak risk in exchange bond market.