债券利率风险度量方法及其风险防范

The Measurement and Controlling Methods on Interest-rate Risk of Bonds

利率风险的防范离不开对利率风险的准确度量。目前广泛应用的利率风险的度量方法包括马考勒持续期、修正持续期和凸度等 ,因此本文首先对这些度量方法的特点进行了分析 ,然后指出了如何正确应用这些方法进行债券利率风险的度量和防范。在本文的最后 。

Controlling interest-rant risk mainly relys on the accurate measurement of it. Nowadays,the widely used measurement methods are Macaulay's duration,midified duration and convexity etc.This paper first analyses the characters of these measurement methods,then points out how to use them correctly to measure and control the interest-rate risk of bonds.Finally,this paper throws light on a wrong region on the ropic.