摘要
本文推导了Diebold-Li广义久期向量模型下的Theta,并利用上交所国债数据进行实证研究。结果表明,在久期匹配的条件下引入凸度匹配或Theta匹配均可减小风险对冲误差,且引入凸度匹配时风险对冲误差更小。
This paper deduce the Diebold- Li of its general Duration- Vector Model Theta and carries out empirical research according to the national debt data of Shanghai Stock ExchangeThe result shows that both the introductiom of convexity watching and Theta matching under the condition of duration matching can reduce the error of risk hedging, and the introduction of convexity matching leads to even less error.
出处
《财经科学》
CSSCI
北大核心
2014年第12期51-57,共7页
Finance & Economics
基金
国家自然科学基金资助项目(71171144,71471129)
高等学校博士学科点专项科研基金资助项目(20130032110016)
