随机久期利率风险免疫策略研究

Interest Rate Risk Hedging Strategies with Stochastic Durations

通过对传统久期、随机久期与多种免疫策略相结合所构成的免疫方法的实证分析,实证结果表明:传统久期免疫方法在投资期较短的前提下具有与随机久期同等的免疫效果;随机久期测度与适当的免疫策略所构成的免疫方法在复杂变化的利率期限结构条件下能够得到优于传统久期免疫方法的免疫效果。

The paper compared and analyzed different immunization effects of several immunization methods, consisting of different immunization strategies and the traditional and the stochastic duration. Results showed that the immunization effects of the traditional duration immunization methods were as good as the effects of the stochastic interest rate risk measures. The immunization methods combining of stochastic interest rate risk measures and the appropriate immunization strategies could get the better immunization effects when the changes of the term structure of interest rate were complex.