国债市场利率风险初探

On interest rate risks in the treasury bond market

目前中国利率水平处于历史低点,中国国债市场所蕴含的利率风险已不容忽视。该文采用了基点价格(PVBP)、久期和凸性三个指标,对证券交易所交易的国债进行了整体分析,认为应该适时开展国债远期、期货等衍生品种交易,使投资者可以进行对冲交易或套期保值。

With a record low interest rate, interest rate risks embodied in China's treasury bond market cannot be neglected. Adopting the use of the three indexes of PVBP, duration and convexity to the analysis of treasury bonds in stock exchanges, this paper holds that derivatives such as treasury bond forward and futures should be introduced timely, so that investors can carry out hedging transactions.