固定收入债券利率风险管理中的持续期度量方法.pdfVIP

第 30i量第6 期 湖南大学学报(自然科学版) Vol 扮，No， 6 2003 年 1 2 月 Joumal of Hunan University(Natural Sciences) 0配 2003 文章编号:J(削 2472(2制)3)侃。105-05 酣定收入情静利琦寒风险曾盟中的 持生冀期展最YYf去糠 谢赤，邓t;颖 (湖南k学工商管理学院，湖南长11 410082) 摘 要~:首先指出对有网之收入的债券进行投资也存在着风险，其中岑美为利率风险， 而持续期以及以其为基础建立的持续期分析则是进行利牟风险管理的重姿方法然后在对 传统的利率持续期模搜进行评介的.础上，进一步分析了学者们对传统持续期祺绥的发展， 详细介绍了包含债券收益事曲线非平行移动的持续期模型和在不同利率期限结构假设下所 根导的持续期棋盘且自 关键词:债券:利凉风除-t观;持续期模型 中图分类等:F830 .99 :lt献串串识码 :A The Duration Approach in the Intere日t Rate Risk Management XIE Chi , DENG Y卜ying (C.oI1哺e 01 Busìn酬Managcment， Hunan Univ , Changsha 41oo82 ,China) Abstracl: This paper lirst pointed out that the inv，四tment 10 the fixed-income 配curities 5uth as bond still has risk exposure which is tnainly the interest rate risk , The duration models and their corresponding analysís approach制 play an very im阴阳nt rule ;n the Înter四1 rate risk n刷回自臼nent. Then , we intro:luced the tradí tion- al duration models and discussed 50me extended duratioll models , which ínclude the non-parallel movement 01 yíeld curve and the duratíoll models under various term structure 8uch as Vasi四k ， CIR，而M阻ld Moreno mod- el , etc , Finally il W朋朋gges时that we shotùd do more economenic analysis of Ihe interesl rale risk mana桥 ment and the relevant operntionaJ 10018 50 as 10 m四t the development 01 the managem，巳 nt of the inler咽1 rate risk in theory and practice , Key words:bond: interest rate risk management: duration m叫 在证券投资理论中，通常将对债券，特别是因库 用的一个1重要方法.自