基于修正的Nelson-Siegel模型的久期免疫策略

An Duration Immunization Strategy Based on the Nelson-Siegel Modified Model

本文首先回顾了久期的概念和即期利率曲线的拟合方法,并在此基础上推导了基于NSM模型(Nelson-Siegel Modified Model)的多维久期向量公式,构造基于NSM模型的久期免疫策略数学方法。然后,依据中国银行间债券市场实际交易的11只债券的数据,应用NSM模型求解出了利率的期限结构,最后利用基于NSM模型的多维久期向量构造久期配比免疫组合,并从实证的角度证明了这种免疫策略比基于传统的麦考雷久期构造的久期配比免疫策略具有更好的利率风险对冲效果。

Firstly this study reviews the concept of duration and the methods to fit spot interest curve, according to which, the multidimensional duration vector equation based on NSM model and the mathematics to use it to construct the duration immunization strategy can be got. Then this study applies the NSM model to solve the spot interest curve using eleven bonds’ data traded in the Chinese Interbank Bond Market, and constructs a multidimensional duration immunization portfolio based on the parameters we get. Finally, after comparing the results generated by the multidimensional duration immunization portfolio and the Macaulay duration immunization portfolio, this paper comes to the conclusion that the strategy based on the NSM model can hedge the interest risk better.