A Study On The Pricing Issue Of RMB Interest Rate Swap

Since the emergency in 1980s, the interest rate swap had been widely utilized in the international financial market as a highly efficient financial instrument for interest risk management. In China, the RMB interest rate swap market have been highly developed since been trial operation in 2006, which increased substantially in aspects of trade participants, swap product categories and trading volume. However, the application degree of RMB interest rate swap is still insufficient in consideration of the huge sensitive assets, deposit and loan in Chinese market. Currently, RMB interest rate swap is mainly traded among Chinese financial institutions, and few non-financial institutions participated in the market. For reasons resulting in such situation, we believe that the major reason lies in irrational RMB interest rate swap price-making system. Therefore, the thesis mainly focuses on discussing following topics basing on current development status of RMB interest rate swap market.At first, the thesis introduced the research background and meaning of the interest rate swap study, and recalls both domestic and foreign interest rate swap theories, as well as proposed the thesis's major view of points.Secondly, the thesis study the latest RMB interest rate swap statistics in past several years as of 2009, and analyze the trading status and potential problems therein, as well as propose the author's solutions.Finally, the thesis research the RMB interest rate swap price-making system, analyze how to establish the revised pricing model for RMB interest rate swap, and proposes solutions to improve RMB interest swap pricing system.