利率的可控风险和不可控风险

The controllable and uncontrollable risk of interest rate

依据Markowitz度量风险的方法,定量研究利率风险的来源、分类、影响和管理。将利率风险分解为可控风险和不可控风险。认为利率的可控风险与资本市场波动有关,可通过套期保值方法避免,可能产生正、零或负的期望收益。利率的不可控风险与资本市场波动无关,无法对冲,而且带来正的期望收益。影响最优投资期望收益的不是可控风险,而是不可控风险。当利率的可控风险为零时,利率可看作外生变量。利率确定或完全市场情况下利率没有不可控风险。

The source, classification, effect and management of interest rate are discussed by quantitative analysis. In virtue of Markowitz＇ s measure risk approach, the interest rate risk is divided into controllable risk and uncontrollable risk. The controllable risk, related with capital market, can be hedged. The expected return produced by the risk may be positive, zero or negative. But the uncontrollable risk having no relevance to capital market cannot be hedged. The latter has effect on investors＇ expected return, but the former does not. The classification of interest rate helps us control risk and increase return.