随机久期利率风险免疫策略研究
|
摘要
通过对传统久期、随机久期与多种免疫策略相结合所构成的免疫方法的实证分析,实证结果表明:传统久期免疫方法在投资期较短的前提下具有与随机久期同等的免疫效果;随机久期测度与适当的免疫策略所构成的免疫方法在复杂变化的利率期限结构条件下能够得到优于传统久期免疫方法的免疫效果。
The paper compared and analyzed different immunization effects of several immunization methods,consisting of different immunization strategies and the traditional and the stochastic duration. Results showed that the immunization effects of the traditional duration immunization methods were as good as the effects of the stochastic interest rate risk measures. The immunization methods combining of stochastic interest rate risk measures and the appropriate immunization strategies could get the better immunization effects when the changes of the term structure of interest rate were complex.
The paper compared and analyzed different immunization effects of several immunization methods,consisting of different immunization strategies and the traditional and the stochastic duration. Results showed that the immunization effects of the traditional duration immunization methods were as good as the effects of the stochastic interest rate risk measures. The immunization methods combining of stochastic interest rate risk measures and the appropriate immunization strategies could get the better immunization effects when the changes of the term structure of interest rate were complex.
引文
[1]MACAULAY F.Some theoretical problems suggested by the movements of interest rates,bond yields,and stock prices in the united states since 1856[R].New York:National Bureau of Economic Research Working Paper,1938,1-15.
[2]FISHER L,WEIL R.Coping with the risk of interest-rate fluctuations:returns to bondholders from naive and optimal strategies[J].Journal of Business,1971(44):408-431.
[3]WILLNER R.A new tool for portfolio managers:level,slope,and curvature durations[J].The Journal of Fixed Income,1996:48-59.
[4]ZHENG H,THOMAS L C,ALLEN D E.The duration derby:a comparison of duration based strategies in asset liability management[J].Journal of Bond Trading and Management,2003,1(4):371-380.
[5]张继强.债券利率风险管理的三因素模型[J].数量经济技术经济研究,2004(1):62-67.
[6]王志强,康书隆.Nelson-Siegel久期配比免疫模型的改进与完善[J].数量经济技术经济研究,2010(12):133-147.
[7]INGERSOLL J E.SKELTON J,WEIL R.Duration fourty years later[J].Journal of Financial and Quantitative Analysis,1978,13(4):627-650.
[8]AU K T,THURSTON D C.A new class of duration measures[J].Economics Letters,1995(47):371-375.
[9]王克明,梁戍.基于利率期限结构的随机久期与凸度模型构建及应用[J].统计与决策,2010(24):158-160.
[10]曾黎.基于违约风险的Vasicek利率风险研究[J].数学理论与应用,2010,30(1):67-70。
[11]朱峰.Vasicek方向久期:一类新的利率风险免疫工具[J].金融监管研究,2013(1):69-79.
[12]WU X.A new stochastic duration based on the vasicek and CIR term structure theories[J].Journal of Business Finance and Accounting,2000,27(7&8):911-932.
[13]HO L,CADLE J,THEOBALD M.Estimation and hedging with a one-factor Heath-Jarrow-Morton model[J].The Journal of Derivatives,2001,8(4):49-61.
[14]SENAY A.The performance of alternative interest rate risk measures and immunization strategies under a Heath-Jarrow-Morton framework[J].Journal of Financial and Quantitative Analysis,2005,40(3):645-669.
[15]FONG H,VASICEK O.A risk advanced minimizing strategy for portfolio immunization[J].Journal of Finance,1984,39(5):1541-1546.
[2]FISHER L,WEIL R.Coping with the risk of interest-rate fluctuations:returns to bondholders from naive and optimal strategies[J].Journal of Business,1971(44):408-431.
[3]WILLNER R.A new tool for portfolio managers:level,slope,and curvature durations[J].The Journal of Fixed Income,1996:48-59.
[4]ZHENG H,THOMAS L C,ALLEN D E.The duration derby:a comparison of duration based strategies in asset liability management[J].Journal of Bond Trading and Management,2003,1(4):371-380.
[5]张继强.债券利率风险管理的三因素模型[J].数量经济技术经济研究,2004(1):62-67.
[6]王志强,康书隆.Nelson-Siegel久期配比免疫模型的改进与完善[J].数量经济技术经济研究,2010(12):133-147.
[7]INGERSOLL J E.SKELTON J,WEIL R.Duration fourty years later[J].Journal of Financial and Quantitative Analysis,1978,13(4):627-650.
[8]AU K T,THURSTON D C.A new class of duration measures[J].Economics Letters,1995(47):371-375.
[9]王克明,梁戍.基于利率期限结构的随机久期与凸度模型构建及应用[J].统计与决策,2010(24):158-160.
[10]曾黎.基于违约风险的Vasicek利率风险研究[J].数学理论与应用,2010,30(1):67-70。
[11]朱峰.Vasicek方向久期:一类新的利率风险免疫工具[J].金融监管研究,2013(1):69-79.
[12]WU X.A new stochastic duration based on the vasicek and CIR term structure theories[J].Journal of Business Finance and Accounting,2000,27(7&8):911-932.
[13]HO L,CADLE J,THEOBALD M.Estimation and hedging with a one-factor Heath-Jarrow-Morton model[J].The Journal of Derivatives,2001,8(4):49-61.
[14]SENAY A.The performance of alternative interest rate risk measures and immunization strategies under a Heath-Jarrow-Morton framework[J].Journal of Financial and Quantitative Analysis,2005,40(3):645-669.
[15]FONG H,VASICEK O.A risk advanced minimizing strategy for portfolio immunization[J].Journal of Finance,1984,39(5):1541-1546.