一种HJM框架下的利率风险免疫的新方法  

A New Method of Interest Rate Risk Immunization under the HJM Framework

作　　者：李晶晶[1,2] 杨宝臣[2] 

机构地区：[1]天津科技大学金融工程与风险管理研究中心,天津300222 [2]天津大学管理与经济学部,天津300072

出　　处：《管理工程学报》2016年第2期195-201,共7页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71171144);高等学校博士学科点专项科研基金资助项目(20130032110016);教育部长江学者和创新团队发展计划资助项目(IRT1028)

摘　　要：通过对HJM框架下随机久期测度与久期匹配免疫策略的研究,指出了当前被广泛研究的应用随机利率风险测度的利率风险免疫方法存在的理论缺陷,并在此基础上构建了新的HJM框架下的随机利率风险测度模型及其相应的利率风险免疫策略,得到了一种理论上更为合理的应用随机利率风险测度的利率风险免疫方法。实证结果显示,本文所提出的利率风险免疫方法能够得到较好的免疫效果,能够体现出随机利率风险免疫方法在利率风险管理中的优越性,在利率风险管理中具有较高的应用价值。Interest rate risk is mainly inevitable in the field of fixed income securities investment. As drastic fluctuation of market interest rate is caused by the development and liberalization of financial market, management of interest rate risk has inevitably become a significant issue. Meanwhile, along with gradually increased understanding about the nature of interest rate term structure, a new type of stochastic interest rate risk measures based on dynamic term structure of interest rate is introduced to measure and manage interest rate risk. Nevertheless, according to the related simulations and empirical studies, the results show that this new method makes less contribution to the improvement of interest rate risk immunization effect.This paper points out inconsistency of theoretical hypothesis between stochastic duration measures and duration matching immunization strategy under the Heath-Jarrow-Morton（hereafter HJM） framework. In addition, this paper also analyzes the validity of duration matching immunization strategy under the dynamic term structure of interest rate, which can explain the phenomenon that immunization effect of stochastic interest rate risk measures in empirical studycan＇t be better than traditional measures. Based on the above analysis, a new stochastic interest rate risk measure and the corresponding interest rate risk immunization strategy are derived under the HJM framework, which is more reasonable than the traditional interest rate risk measure. The stochastic interest rate risk measure in this strategy is based on the definition of interest rate risk in Thurston Stochastic Duration. Formulas are provided to measure reinvestment risk and price risk. In contrast with Thurston Stochastic Duration, this measure is based on the term structures of interest rate at every reinvestment time and selling bonds moments. These moments are obtained by forecasting instead of the term structure of interest rate which is at the initial investment moment. The measure of interest rate risk is based

关 键 词：HJM框架 随机利率风险测度 利率风险最小化免疫策略 久期匹配免疫策略 

分 类 号：F832.5[经济管理—金融学]