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基于持续期模型的商业银行利率风险管理 被引量:1

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摘要 从商业银行运用持续期模型加强利率风险管理的必要性入手,介绍了持续期模型,并指出了持续期用于利率风险管理的局限性。通过对模型进行修正,引入了凸度免疫策略,最后就该模型在我国商业银行利率风险管理中的可行性进行了探讨。
作者 王晓鹏
出处 《技术与市场》 2011年第12期266-267,共2页 Technology and Market
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