摘要
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.
出处
《经济与管理研究》
CSSCI
北大核心
2014年第11期50-54,共5页
Research on Economics and Management
基金
国家自然科学基金资助项目"基于随机波动Heath-Jarrow-Morton模型的可违约债券定价及风险管理策略研究"(71171144)
高等学校博士学科点专项科研基金资助项目"基于流动性调整的可违约债券定价与信用组合资产管理研究"(20130032110016)
关键词
利率风险
FW久期
随机久期
免疫策略
Interest Rate Risk
FW Duration
Stochastic Duration
Immunization Strategy