利率风险测度技术文献综述

A Literature Summery on the Measure of Interest Rate Risk

20世纪70年代开始的西方国家利率市场化改革,加剧了利率波动,增加了金融企业的利率风险,为此,国外学术界和实业界提出许多测度利率风险的方法。从利率敏感性缺口模型、持续期缺口模型、凸度模型到含有违约风险的利率风险测度模型、收益率曲线非平行移动时的利率风险测度模型、含有隐含期权的利率风险测度模型,前提假定更符合现实情况,提高了对利率风险估计的精确度。

The reform of interest rate marketization started in 1970s in western countries increased the volaitlity of interest rate and interest rate risk of financial enterprise. For coping with the situation, academics and practtitioners have developed many models to measure interest rate risk. From interest rate sensitivity gap model, the duration gap model and the convexity model to the interest rate risk measure model with default risk, the interest rate risk measure model under a nonparallel shift in the yield curve and the interest rate risk measure model with embedded option, the assumptions of the models are more realistic and the models estimate the interest rate risk with more accuaracy.