随机利率模型下的风险度量

The Risk Measure Model under Stochastic Interest Rates

随着利率市场化进程的不断加快,对债券的价格波动率进行较深入的了解,才能在实战中对价格的涨跌原因进行正确分析,并采取相应的投资策略,以达到风险最小化、收益最大化的目的。参照前人的固定利率时债券的价格的研究成果,推广到了随机利率模型下的债券的价格,并在此基础上介绍了债券价格波动率的2种重要测度:久期和凸度,给出了久期凸度对国债价格波动率预测的实证分析,以及基于久期和凸度的套期保值方法。

With the process of interest marketization are noticeably accelerating,we learn a lot about bond volatility so as to analyse the cause of changes in the bond price and make perfect investment strategy and to achieve the minimum risk,utility maximization goal.This paper reference to fixed interest rate of predecessors when the price of the bonds of research results,extended to a random rate model the price of bonds,and on this basis two important measures of bond volatility（duration and convexity） are introduced in the paper.And the effect of duration and convexity on the forecast bond volatility are discussed.The paper also introduces a hedging method based on duration and convexity.