利率风险管理的重要免疫工具:持续期模型  

The Most Important Immunizing Tools against Interest Rate Risk: Duration Models

作　　者：王志强[1] 张姣[2] 

机构地区：[1]东北财经大学科研处,辽宁大连116025 [2]东北财经大学金融学院,辽宁大连116025

出　　处：《财经问题研究》2005年第9期25-33,共9页Research On Financial and Economic Issues

基　　金：国家自然科学基金资助项目(70171019)

摘　　要：利率市场化进程的加快凸现利率风险管理的重要性和迫切性。作为一种利率风险管理的重要免疫工具,持续期配比策略在近些年来有了较大发展。本文在深入探讨Macaulay持续期的三种重要含义的基础上,详细地分析和比较了近期提出的几种主要持续期即:方向持续期、部分持续期和近似持续期,最后简单讨论了将这些持续期模型及其免疫策略用于中国市场应注意的问题。The importance and urgency of the interest rate risk management is projected in the accelerated process of interest rate marketization. As an important immunizing tool against interest rate risk management, duration - matched strategy has received the rapidly development recently. Based on discussions of three significative implications of Macaulay duration, this paper analyzes and compares several important duration models published recently, including directional duration, partial duration and approximate duration. At last, the paper briefly discusses the problems when applying these models to Chinese market.

关 键 词：利率风险管理 免疫策略 持续期模型 

分 类 号：F830.9[经济管理—金融学]