交易所债券组合动态套期保值策略研究

A Study of Dynamic Hedging Techniques for Bond Portfolios

随着中国债券市场的发展,如何对债券组合进行套期保值已成为众多金融机构亟待解决的问题。本文首先使用Nelson-Siegel模型拟合出2002年沪深交易所国债的利率期限结构,然后运用2因子、3因子主成分法及久期、凸度法对交易所上市的债券进行模拟套期保值。结果表明,凸度法及3因子主成分法有比较理想的效果。

As Chinese bond market develops, how to hedge bond portfolios has become an urgent problem for many financial institutions. By using Nelson - Siegel model, the paper derives the term structures for bonds in Shanghai & Shenzhen Security Exchange in 2002, and use two - and three - principal components as well as traditional duration and convexity to simulate a hedging of portfolios. Comparing with others, convexity hedging and three - principal components hedging are more effective.