久期技术及其免疫组合策略应用研究-数量经济专业论文.docxVIP

内容提要 内容提要 F《53582 久期是金融机构防范利率风险，实施免疫策略的一个重要工具。本文首先对固定收 益债券的有关理论进行了一般的介绍，引出了久期的概念并对其性质进行了讨论。在利率 发生较大变动时，久期对利率敏感性的测量会出现较大的误差，需要引入凸性的概念对久 期的估计结果进行修正。在较为详细的讨论了久期和凸性的理论之后，本文介绍了债券组 合的一般策略并以单个债券、简单债券组合和基金管理中的债券组合为例进行了分析。久 期缺口技术是商业银行调整资产负债表结构，防范利率风险的重要工具。笔者首先考察了 以考夫曼为代表的经济学家提出的传统久期缺口管理技术，认为在利率出现较大变动时传 统的久期缺口管理会给估计造成较大的误差。为此，笔者运用凸性对传统的久期缺口进行 了修正，并提出了再修正久期的概念和模型。这是本文的新意之一。对单个项目久期进行 加权平均而得到整个组合的平均久期是传统久期缺口管理的理论基础，然而笔者发现采用 简单加权平均法的计算结果与根据实际现金流的发生情况计算的结果不一致。这是本文的 新意之二。最后本文根据资产、负债组合实际发生现金流的情况对组合的实际久期进行再 讨论，并给出新的资产、负债久期关系。这是本文的新意之三。 关键词：久期 凸性 利率风险 久期缺口 免疫策略 v一7 ～L～ t L， Abstract The duration represents an important and powerful tool in minimizing the risk of changing interest rates．A brief introduction of fixed income bond portfolio theory leads to the concept of duration．The property of duration is also examined．Convexity is used for a圳ustment of duration measuring effect when interest rate changes a lot．After detailed look into thories of duration and convexity，this paper introduces the general investment portfolio theories and illustrating examples about single bond，bond portfolios consisting of two bonds，bond investment strategies in funds management．The duration gap(DGAP)management is a vital technique in adjusting the structure of balance sheet to be immunized of interest rate risk The author observes that the DGAP theory of sin#e factor duration gap equations by Bierwag and Kaufman，etc．will produce relatively large mistakes if large change of interest rate occurs． Convexity is therefor considered tO adjust the effbct of DGAP by the author and this come into the first highlight in this paper．Results from the simple weighted average duration are observed to be different to that from the actual cash flows analysis．Based on this second highlight findings，a new relation between the asset and liability duration is deduced to measure the value changes to interest rate change．This hence becomes the third highlight of this paper． Keywords：duration，convexity，interest rate risk，