曲度变动与利率风险对冲效果的改善  

Improvement in Hedging of Curvature Change and Interest Rate Risk

作　　者：杨宝臣[1] 廖珊[1] 苏云鹏[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《系统工程》2011年第12期13-18,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(70771075;71171144);教育部博士点基金资助项目(200800560032);教育部新世纪优秀人才支持计划项目(NCET-08-0397);天津大学自主创新基金资助项目

摘　　要：将基于N e lson-S iege l模型的广义久期向量模型进行扩展,引入一个新的因素得到了扩展的久期向量模型,并给出了其在Svensson模型及四形状因素模型下的实现。利用上交所国债数据进行实证检验,表明引入额外的曲度因素可以显著改善风险对冲效果。此外,四形状因素久期向量模型对冲利率风险的效果略好于Svensson久期向量模型,且前者待估计参数更少,是更理想的利率风险对冲模型。In this paper,the Generalized Duration Vector Model based on Extended Nelson-Siegel Model is extended and implemented under Svensson-Nelson-Siegel Model Shape Factors Model.Empirical test which uses the data from Shanghai Securities Exchange shows that with an extra curvature factor the hedge performance can be improved significantly.Duration Vector Model under Four Shape Factors Model performs a bit better than that under Svensson-Nelson-Siegel Model,besides the former has fewer parameters to be estimated,so it＇s more suitable model to hedge interest rate risk.

关 键 词：利率风险管理 久期向量 形状因素模型 

分 类 号：F224[经济管理—国民经济]