摘要
结合中国债券市场的发展特点和利率风险波动特征,本文沿着多元参数久期免疫的研究思路,在Vasicek(1977)构建的收益率曲线静态模型的基础上,发展了多维的Vasicek方向久期及其免疫条件,将其应用于债券组合的利率风险度量和免疫管理。相对于传统免疫策略,该免疫工具提高了对利率风险的识别能力,能较好地度量收益率曲线在水平、斜率和曲率等主要形状特征上的变化对债券价值的影响,是一类适用于国内债券市场的新的债券利率风险免疫工具。
Taking into account of the features of the interest rate volatility in China＇ s bond market, this paper advances a new immunization tool, Vasicek directional duration, based on Vasicek＇ s （ 1977 ） short-term interest rate stochastic process and multivariate parametric immunization, and applies it in the measurement of interest rate risk and the formation of immunization strategies. This tool can clearly describe the effect of level, slope and curvature changes of the yield curve on bond value and it is suitable for bond portfolio management in the local bond market.
出处
《金融监管研究》
2013年第1期69-79,共11页
Financial Regulation Research
关键词
利率风险
免疫工具
多元久期
Interest Rate Risk
hnmunization Tool
Multivariate Parametric Immunization
