论文标题
灾难性事件中零黑德曼区利率模型的绩效分析：COVID-19案例研究
Performance analysis of Zero Black-Derman-Toy interest rate model in catastrophic events: COVID-19 case study
论文作者
论文摘要
在本文中，我们继续研究了我们最近的称为零黑德曼电视（ZBDT）模型的利率树模型，其中包括每一步跳到实际上零利率的可能性。这种方法可以更好地匹配灾难性事件引起的财务放缓的风险。我们介绍了如何为这种模型设置广泛的金融衍生品。描述了经典的黑人球员（BDT）模型和新颖的ZBDT模型，并在其校准方法中建立了类比。最后，引入了两种新型ZBDT模型的应用。他们中的第一个是S形期限结构的假设情况和产量的波动性降低。第二种情况是ZBDT模型在美国主权债券结构中的应用，目前是由冠状病毒大流行造成的2020美元的经济放缓。这项研究的目的是了解两种模型中对不同衍生物的估值所呈现的差异。
In this paper we continue the research of our recent interest rate tree model called Zero Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a practically zero interest rate. This approach allows to better match to risk of financial slowdown caused by catastrophic events. We present how to valuate a wide range of financial derivatives for such a model. The classical Black-Derman-Toy (BDT) model and novel ZBDT model are described and analogies in their calibration methodology are established. Finally two cases of applications of the novel ZBDT model are introduced. The first of them is the hypothetical case of an S-shape term structure and decreasing volatility of yields. The second case is an application of the ZBDT model in the structure of United States sovereign bonds in the current $2020$ economic slowdown caused by the Coronavirus pandemic. The objective of this study is to understand the differences presented by the valuation in both models for different derivatives.
