债券风险分析的布朗桥运动模型

Brown Bridge Model in Risk Analysis of Government Bonds

以 1 998～ 1 999年在上海证券交易所上市的国债为对象 ,采用布朗桥运动模型对国债的波动特征进行了实证分析 .研究表明 ,剩余期限、持有时间是影响债券风险的重要因素 ,债券风险与其初期和到期价格无关 ,采用波动幅度作为风险指标要优于方差 .

The trading data from 1998 to 1999 of the bonds listed in Shanghai Stock Exchange was empirically analyzed. Brown bridge model was adopted to study the risk characters of the government bonds. It is found that the maturity and holding period are two important factors that influence bond risk, but the bond prices aren't. In Brown bridge model the fluctuation ratio fits better than the variance as an indicator of risk. The current nominal interest rate is the lowest since 1980, the risk of government bonds is very great, so Brown bridge model is especially important in the bonds portfolio management.