企业年金资产负债匹配管理研究  

Asset liability matching management for corporate annuity funds

作　　者：谢杰[1] 

机构地区：[1]浙江工商大学经济学院,浙江杭州310018

出　　处：《保险研究》2010年第8期94-103,共10页Insurance Studies

基　　金：浙江工商大学产业经济学学科(省重点学科)经费资助研究成果;上海财经大学金融学院李曜教授主持的国家自然科学基金资助项目(70573067)的阶段性成果

摘　　要：本文引入一个久期匹配、凸性匹配和现金流匹配的模型,以研究资产负债管理中的利率免疫策略,计算了中国国债的Fisher-Weil久期和凸性。主要结论和启示如下:如果债券到期日过长,Fisher-Weil久期和Macaulay久期之间会存在显著差异。与企业年金的负债久期相比,大多数中国国债的资产久期较短。We applied the duration matching model, the convexity matching model and the cash flow matching model to study the interest rate immunization strategy in asset liability management. Different from many other re- searches, we calculated the Fisher-Weil duration and convexity of China＇s government bonds, and arrived at the fol- lowing conclusions and inspirations： if the bond maturity date is too far away, there will be a marked discrepancy between the Fisher-Weil duration and the Macaulay duration. Compared with the liability duration of corporate annu- ity funds, the majority of Chinese government bonds have a relatively shorter asset duration. Since real estate assets have a very long duration, corporate annuity fund management firms and other relevant institutions should conduct research on real estate investment. The enhanced methodology by this study will help with the interest rate immuni- zation operation in asset liability management, and offer some references for further research.

关 键 词：企业年金 资产负债管理 利率免疫 Fisher—Well久期 Fisher—Weil凸性 

分 类 号：F840.32[经济管理—保险]