基于OAS的抵押支持证券的利率风险度量  

Interest-rate Risk Measurement of Mortgage-backed Securities Based on OAS

作　　者：胡宗义[1] 谭政勋[2] 

机构地区：[1]湖南大学统计学院,湖南长沙410079 [2]暨南大学珠海分院,广东珠海519000

出　　处：《湖南大学学报（自然科学版）》2005年第4期125-128,共4页Journal of Hunan University:Natural Sciences

基　　金：湖南省自然科学基金资助项目(00JJY2097)

摘　　要：在介绍传统麦考莱持续期与凸度衡量抵押支持证券价格对利率敏感性的基础上,分析了麦考莱持续期和凸度在测量隐含期权债券价格利率风险时存在的局限性,提出了更能准确度量利率风险的基于期权调整利差技术的持续期和凸度,即DOAS和COAS,给出了OAS测量债券价格利率敏感性的方法和步骤;并利用利率模拟技术和现金流计算模型,给出了求解OAS的详细过程.After introducing Maculae Duration ＆ Convexity to measure the risk of mortgage-backed securities by the sensibility upon interest-rate , this paper analyzed the limitations using Maculae Duration ＆ Convexity to measure the interest-rate risk of the implied price of options and bonds, and put forward an option-adjusted duration and convexity, namely DOAS and COAS, which can measure the interest rate sensitivity more accurately,and provided the methods and steps to use OAS to measure the sensibility of price upon interest-rate of bond. Finally, this paper utilized the technology of imitating interest rate and the model of calculating cash flows, and provided the detailed course to solve OAS.

关 键 词：期权调整利差 期权调整持续期与凸度 提前偿付函数 现金流计算模型 

分 类 号：F224.0[经济管理—国民经济]