含期权债券利率风险的衡量

Measurement of Interest Rate Risk of Option Embedded Bond

久期(Duration)和凸度(Convexity)是度量普通债券利率风险的常用指标。含权债券中内嵌的期权会改变债券价格变动和利率变动的关系,使债券面临更大的利率风险,但常用的久期和凸度无法体现这一影响。实际久期和实际凸度可以弥补这一缺陷,是衡量含权债券利率风险的有效指标。对国家开发银行发行的可赎回债券和可回售债券的模拟和实证分析表明,由于内嵌了期权,在有些情况下实际凸度解释了大部分的利率风险,因此建议在投资中使用实际久期和实际凸度来衡量含权债券的利率风险,而且在利率比较高或比较低时不可忽略实际凸度对利率风险的解释作用。

Duration and convexity are the most common indicators used to measure bond's interest rate risks. Embedded option will alter the changing relationship between bond price and interest rate, subjecting bond to greater interest rate risks. But ordinary duration and convexity can not reflect such influence. In contrast, effective duration and convexity can make up for this shortcoming and are useful indicators to interest rate risks of embedded option bonds. Simulation and empirical analysis of callable bond and resalable bonds issued by Chinese Development Bank show that effective convexity can sometimes explain most of the interest rate risks because of the options embedded. So it is suggested that effective duration and convexity be used in investment and attention paid to the explanatory role of effective convexity when interest rate is high or low.