一种HJM框架下的利率风险免疫的新方法

A New Method of Interest Rate Risk Immunization under the HJM Framework

通过对HJM框架下随机久期测度与久期匹配免疫策略的研究,指出了当前被广泛研究的应用随机利率风险测度的利率风险免疫方法存在的理论缺陷,并在此基础上构建了新的HJM框架下的随机利率风险测度模型及其相应的利率风险免疫策略,得到了一种理论上更为合理的应用随机利率风险测度的利率风险免疫方法。实证结果显示,本文所提出的利率风险免疫方法能够得到较好的免疫效果,能够体现出随机利率风险免疫方法在利率风险管理中的优越性,在利率风险管理中具有较高的应用价值。

Interest rate risk is mainly inevitable in the field of fixed income securities investment. As drastic fluctuation of market interest rate is caused by the development and liberalization of financial market, management of interest rate risk has inevitably become a significant issue. Meanwhile, along with gradually increased understanding about the nature of interest rate term structure, a new type of stochastic interest rate risk measures based on dynamic term structure of interest rate is introduced to measure and manage interest rate risk. Nevertheless, according to the related simulations and empirical studies, the results show that this new method makes less contribution to the improvement of interest rate risk immunization effect.This paper points out inconsistency of theoretical hypothesis between stochastic duration measures and duration matching immunization strategy under the Heath-Jarrow-Morton（hereafter HJM） framework. In addition, this paper also analyzes the validity of duration matching immunization strategy under the dynamic term structure of interest rate, which can explain the phenomenon that immunization effect of stochastic interest rate risk measures in empirical studycan＇t be better than traditional measures. Based on the above analysis, a new stochastic interest rate risk measure and the corresponding interest rate risk immunization strategy are derived under the HJM framework, which is more reasonable than the traditional interest rate risk measure. The stochastic interest rate risk measure in this strategy is based on the definition of interest rate risk in Thurston Stochastic Duration. Formulas are provided to measure reinvestment risk and price risk. In contrast with Thurston Stochastic Duration, this measure is based on the term structures of interest rate at every reinvestment time and selling bonds moments. These moments are obtained by forecasting instead of the term structure of interest rate which is at the initial investment moment. The measure of interest rate risk is based on the change of final value of investment income instead of bond price changing at the beginning of investment. In this method, the immunization strategy is based on optimization methods. This strategy not only considers the influence of interest rate＇s unanticipated changes to bond prices, but also effectively uses related assumptions on change characteristics in interest rates, which are given from the dynamic term structure of interest rate theory. The immunization strategy eliminates unreasonable assumption about instantaneous one-time changes of the yield curve in investment horizon. Finally, the empirical result proves that the method presented in this paper is superior to immunization effect and higher application value in the interest rate risk management.