用风险价值度量固定收入债券的市场风险

Measurement of the Market Risks of Fixed Income Bonds With VAR

笔者主要研究了固定收益证券的市场风险量化方法。在对债券合理定价的基础上,引入新型的风险监管方法—VAR(风险价值),对债券的市场风险进行定量分析。文中用三种方法(参数法、历史模拟法、蒙特卡罗法)计算了债券的VAR。

The author mainly studies the measurement of the market risks of fixed income bonds. On the basis of pricing bonds reasonably, a new risk management method——VAR （ value at risk） is introduced to make quantitative analysis of the market risks of bonds. Three methods （ parameter method, history simulation method and Monte - Carlo simulation method ） are used to calculate the VAR of bonds.