摘要
企业债券是有价证券之一,利率风险是其面临的主要风险。本文在介绍衡量债券利率风险的传统方法——久期凸性的基础上,运用Delta-Gamma-VaR模型衡量了13支企业债券的利率风险,进而计算出企业面临的损失,从而为企业所有者和债券投资者决策提供了依据。
Enterprise bond is one of negotiable securities,the main risk of which is interest rate risk.The paper based on introducing duration and convexity of traditional method for measuring interest rate risk of bond measure the interest rate risk of 13 enterprise bond using Delta-Gamma-VaR model,further attain loss for enterprise.Which provide the basis on decision for enterprise owner and bond investor.
出处
《山西财政税务专科学校学报》
2010年第6期7-11,共5页
Journal of Shanxi Finance & Taxation College
