VaR方法在国债利率风险管理中的应用  

The Apply of VaR Method to the Management of the Interest Rate Risk of the Treasury Security

作　　者：王春红[1] 曹兴华[1] 

机构地区：[1]青岛大学经济学院,山东青岛266071

出　　处：《商业研究》2004年第1期147-149,共3页Commercial Research

摘　　要：利用VaR方法对国债的利率风险进行了度量,首先验证了国债收益率序列不服从正态分布,说明不宜采用正态分布假定下的VaR计算方法计算VaR,然后采用VaR的历史模拟法对国债价格的利率风险进行了度量,最后对历史模拟法的优缺点进行了分析。This paper measures the interest rate risk by VaR, first proving that the series of the yield of the treasury security docs not obey positive distribution, which illustrating that VaR can not be computed by the method that presumes the positive distribution, then measuring the interest rate risk of the treasury security, by the historical imitation method of VaR. At last, last analyzing the advantages and disadvantages of the method of historical imitation.

关 键 词：国债收盖率 利率风险 VAR方法 历史模拟法 风险管理 

分 类 号：F812.5[经济管理—财政学] F832.2