非平移收益曲线的风险免疫策略

Risk immunization strategy under nonparallel shift of the yield curve

在债券收益曲线呈刚体运动的假设条件下,引入Fisher&Weil久期的概念.从收益曲线的运动分析出发,提出了非平移收益曲线的风险免疫模型,基于该模型研究了风险最小化债券组合的对冲技术和方法.通过数值模拟实验,采用风险值VaR次序统计量估计技术对不同免疫策略下债券组合的风险敞口进行了分析.结果表明,所提出的风险免疫策略能有效地防范和控制无违约债券的利率风险.

Under the assumption of the movement of rigid, a nonparallel shift model in the term structure of interest rates is developed by introducing Fisher ＆ Weil duration which is a well-known concept in the field of interest risk management. This paper has studied the strategy and replication for portfolio immunization to minimize the risk exposure. Through the experiment of numerical simulation, the risk exposures of the portfolio under different strategies of immunization are quantitatively evaluated by the method of Value at Risk （VaR） order statistics （OS） estimation. The results show that the strategy of risk immunization proposed in this paper is very effective at the interest risk management of the default-free bond.