利率风险对冲工具的方法比较

Comparison of Hedging Interest Rate Risk with Derivatives

经济的周期波动,会带来利率水平的变化。随着利率市场化、金融机构资产负债规模的增加,开展利率风险管理的重要性日益凸显。通过衍生品等工具,可以有效对冲资产或负债的利率风险。本文分析利率互换、国债期货或标准债券远期、债券借贷及债券远期等工具的对冲原理,比较不同方法间的效果差异,并提出相关建议。

Derivatives and other tools can effectively hedge interest rate risks as they relate to assets or liabilities. This paper analyzes hedging principles for interest rate swaps, treasury bond futures or standard bond forwards. It compares the different methods and offers suggestions on implementation.