本文選題：國債 + 利率風(fēng)險　； 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：近年來,我國國債市場快速發(fā)展,發(fā)行和交易量屢創(chuàng)新高,在我國金融市場上占有越來越重要的地位。國債投資的風(fēng)險主要來源于利率的波動,隨著利率市場化改革的推進(jìn),市場利率波動將更為頻繁和劇烈,并且隨著參與主體的擴(kuò)大,市場對持有的國債進(jìn)行風(fēng)險管理的需求日益迫切。在國債期貨未推出,市場缺乏合適避險工具的情況下,研究我國利率期限結(jié)構(gòu)的風(fēng)險因素及債券投資組合的套期保值問題具有重要的理論和現(xiàn)實意義。 對債券進(jìn)行利率風(fēng)險管理,首先必須構(gòu)造出利率期限結(jié)構(gòu)。本文在借鑒國外先進(jìn)理論模型的基礎(chǔ)上,基于我國銀行間債券市場的實際情況,利用在西方國家成熟市場中廣泛應(yīng)用的Nelson-Siegel Svensson模型對我國國債利率期限結(jié)構(gòu)進(jìn)行了擬合估計,得到了我國銀行間市場從2006年12月31日到2009年6月25日共597個交易日的國債利率期限結(jié)構(gòu),這段樣本區(qū)間覆蓋了我國宏觀經(jīng)濟(jì)所經(jīng)歷的完整經(jīng)濟(jì)周期。 在擬合出利率期限結(jié)構(gòu)的基礎(chǔ)上,本文運用主成分分析法對我國利率期限結(jié)構(gòu)的日變化序列進(jìn)行了分析,探究引起我國利率期限結(jié)構(gòu)變化的主要風(fēng)險因素。由于時間窗口的選取對主成分分析結(jié)論影響巨大,本文劃分了兩種情境：利率穩(wěn)定時期和利率頻繁波動時期。實證結(jié)果顯示,總的來看三個主成分就足以對我國利率期限結(jié)構(gòu)的變動進(jìn)行解釋。其中,在利率穩(wěn)定時期,各主成分形態(tài)較為復(fù)雜,水平因素不明顯,斜率和曲度因子的解釋力較大,三個主成分對利率期限結(jié)構(gòu)變動的影響隨時間變化較為平穩(wěn)。而在利率頻繁波動時期,水平移動因素對利率期限結(jié)構(gòu)變動的解釋力度較大,各因素影響隨時間變化而又較大的波動性。 最后,本文比較了兩種情境下久期-凸度法和主成分套期保值法的套期保值效果。結(jié)果表明,在利率穩(wěn)定時期主成分套期保值方法具有較小而且穩(wěn)定的跟蹤誤差,保值效果好于久期-凸度法。而在利率頻繁波動時期,久期-凸度模型的套期保值效果要優(yōu)于主成分套期保值方法。通過對我國國債套期保值策略的實證研究,本文期望能為國債市場的參與者提供國債套期保值的決策參考。
[Abstract]:In recent years, with the rapid development of the national debt market, the issuance and trading volume of China's treasury bonds have repeatedly reached a new high, which occupies a more and more important position in the financial market of our country. The risk of national debt investment mainly comes from the fluctuation of interest rate. With the promotion of market-oriented interest rate reform, the fluctuation of market interest rate will be more frequent and intense, and with the expansion of the participants, There is an increasingly urgent need for risk management of treasury bonds held by the market. In the absence of treasury bond futures and the lack of suitable hedging tools in the market, it is of great theoretical and practical significance to study the risk factors of the term structure of interest rates and the hedging of bond portfolio in China. To manage the interest rate risk of bonds, we must first construct the term structure of interest rate. From December 31, 2006 to June 25, 2009, the term structure of interest rate on treasury bonds in China's interbank market is obtained, which covers the complete economic cycle experienced by China's macro economy. On the basis of fitting the term structure of interest rate, this paper uses principal component analysis method to analyze the diurnal change sequence of term structure of interest rate in China, and probes into the main risk factors that cause the change of term structure of interest rate in China. Because the selection of time window has a great influence on the conclusion of principal component analysis, this paper divides into two situations: the period of interest rate stability and the period of frequent fluctuation of interest rate. The empirical results show that the three principal components can explain the change of interest rate term structure. In the stable period of interest rate, the principal components are more complex, the horizontal factors are not obvious, the slope and curvature factors are more explanatory, and the influence of the three principal components on the change of interest rate term structure is more stable with time. However, in the period of frequent fluctuation of interest rate, the explanation of the change of term structure of interest rate by horizontal moving factor is strong, and the fluctuation of each factor changes with time. Finally, this paper compares the hedging effects of the duration-convexity method and the principal component hedging method in two situations. The results show that the principal component hedging method has a small and stable tracking error in the period of interest rate stabilization, and the effect of hedging is better than that of the duration-convexity method. In the period of frequent interest rate fluctuation, the hedging effect of the model is better than that of the principal component hedging method. Through the empirical study on the hedging strategy of national debt in China, this paper hopes to provide the decision reference for the participants in the treasury bond market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F812.5

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相關(guān)期刊論文 前1條

1 張繼強(qiáng);債券利率風(fēng)險管理的三因素模型[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2004年01期

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本文編號：2065777