基于利率期限结构预测的债券组合风险管理  

Risk Management of Bond Portfolio Based on Interest Rates Term Structure Forecasting

作　　者：杨宝臣[1] 廖珊[1,2] 苏云鹏[1] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]浙商银行,浙江杭州310006

出　　处：《金融研究》2012年第10期86-96,共11页Journal of Financial Research

基　　金：国家自然科学基金资助项目(70771075;71171144);教育部人文社会科学研究青年基金资助项目(11YJCZH147);教育部长江学者和创新团队发展计划项目(IRT1028)资助

摘　　要：利率期限结构预测对债券组合风险管理具有重要影响。动态Nelson-Siegel类利率期限结构预测模型可能不稳定,本文对其进行一阶差分修正,实证结果表明一阶差分修正后模型对利率期限结构进行预测的误差显著减小。基于利率期限结构预测,将债券的预测收益率引入Nelson-Siegel久期向量匹配利率风险管理模型,实证结果表明在Nelson-Siegel久期向量匹配的条件下引入预测收益率匹配的约束条件后,可改善预测步长较长或目标债券期限较长情形下的利率风险对冲效果。Interest rates term structure forecasting is crucial for bonds portfolio risk management. In this paper, dynamic Nelson - Siegel - style models are modified by modeling the differentiated series instead of original parameter series. The empirical study shows that the new models forecast interest rates term structure better significantly. Based on that, a new model of managing interest rates risk of bond portfolio with interest rates term structure forecasting information included is proposed, which also proved to be better in hedging interest rates risk of mid - term or long - term bonds.

关 键 词：动态Nelson—Siegel类模型 利率期限结构预测 利率风险管理 Nelson—Siegel久期向量 

分 类 号：F224[经济管理—国民经济] F830.91