An Empirical Study Of HJM Model In China's National Debt Market

Interest rate plays a very important role in modern financial market, so the theoretical research on term structure of interest rate is the basis of asset pricing and risk management. This paper mainly studies under the framework of HJM model, the term structure of Chinese treasury bond market, estimates the volatility term function and drift term function using the historical data of Chinese treasury bond yields,simulates and analyzes the yield of Chinese treasury bonds in the future using the estimated value.This paper is divided into four chapters. The first chapter introduces the research background and the development of interest rate term structure theory. In the second chapter, the theoretical framework of HJM model is introduced, and the method of estimating the volatility function and drift function of HJM model is proposed. The third chapter makes an empirical analysis using historical data Chinese treasury bond market yields, the relationship between long-term interest rates and treasury bond yields estimates the volatility term function and drift term function of HJM model based on the estimated value and the simulation analysis of the yield curve. The fourth chapter,we summarize the research results of this paper, analysis of the inadequacies of this paper and further research ideas.