基准利率标的利率衍生品的定价与风控——平安证券利率衍生品做市交易探索回顾

Pricing and Risk Control of Interest Rate Derivatives Referenced to Benchmark Interest Rates--A Review of Interest Rate Derivatives Market-Making of Ping An Securities

目前,银行间市场基准利率指标体系已成为广大市场主体利率风险管理和对冲的标的,也是其他金融产品定价的基石.为促进利率互换合约准确定价与风险控制,构建一组平滑、无套利的、灵活合约组合的远期曲线（FR007和Shibor3M）是关键.文章从基准利率与利率衍生品价格波动性之间的关系、互换合约的选取和曲线的平滑性等角度,探讨了构建远期曲线和衡量利率风险的有益方法.

Currently, the benchmark interest rates in the interbank market have become the references of interest rate risk management and hedging of most market participants, in the meanwhile, the pricing of many fnancial products are based on them. To facilitate the accurate pricing and risk control of IRS contracts, it is critical to construct a group of forward curves （FR007 and Shibor3M）, which are smooth and non-arbitrage, and are composed of fexible portfolios. This paper discusses how to efectively construct the forward curves and to measure interest rate risks from the perspectives of the relationship between the benchmark interest rates and the price volatility of interest rate derivatives, the selection of IRS contracts and the smoothness of the curves.