本文關(guān)鍵詞：對債券利率風(fēng)險分析工具的探索性改良　出處：《廣東外語外貿(mào)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率風(fēng)險 VAR 蒙特卡羅模擬法 混合正態(tài)分布

【摘要】：隨著經(jīng)濟(jì)全球化、金融國際化和國內(nèi)利率市場化，，風(fēng)險分析正成為金融投資領(lǐng)域的一顆新星。我國利率市場自上世紀(jì)90年代開始市場化步伐，并在此過程中取得了不少的突破。甚至可以預(yù)見，我國利率必將最終實(shí)現(xiàn)由市場供求共同決定。這帶給我國國債投資的，不僅是更多的機(jī)遇，還有更多的風(fēng)險。利率風(fēng)險是國債投資的最主要風(fēng)險之一，如何有效測量、監(jiān)控和處理國債的利率風(fēng)險，對國債投資具有重大的意義。 現(xiàn)有國內(nèi)外對于商業(yè)銀行利率風(fēng)險的研究主要集中在利率期限結(jié)構(gòu)、久期、凸度、缺口、隱含期權(quán)的利率風(fēng)險，且大多數(shù)為理論探討和模型推導(dǎo)，定量研究債券利率風(fēng)險的比較少，再者,對于單一利率風(fēng)險的度量實(shí)證研究也較少�，F(xiàn)在的利率風(fēng)險管理工具均因為各自本身的技術(shù)問題，難以全面而有效地適應(yīng)市場發(fā)展的需要，為投資進(jìn)行利率風(fēng)險管理提供有效的支持。為此，本文著眼于銀行間債券回購市場，同時整合敏感性利率缺口、久期-凸度和VAR三種主要工具，并應(yīng)用混合正態(tài)分布、蒙特卡羅模擬法等原理，對我國銀行間債券市場的隔夜回購利率和債券利率風(fēng)險進(jìn)行相關(guān)的實(shí)證分析，力求得出能有效測量國債利率風(fēng)險的分析工具，幫助債券投資者有效管理利率風(fēng)險，促進(jìn)我國國債市場的進(jìn)一步完善。
[Abstract]:With the economic globalization, financial internationalization and domestic interest rates, risk analysis is becoming a new star in the field of financial investment. China's interest rate market started the pace of the market since the last century in 90s, and in the process has made many breakthroughs. Even predictably, interest rates in China will ultimately determined by market supply and demand. Bring our bond investment, is not only more opportunities and more risk. The interest rate risk is one of the main risk investment, how to effectively measure the interest rate risk, monitoring and treatment of national debt, is of great significance to Chinese investment in debt.
The existing domestic and foreign research on the interest rate risk of commercial banks mainly focused on the term structure of interest rate, duration, convexity, gap option implied interest rate risk, and the majority of theory and model, quantitative research of interest rate risk is relatively small, moreover, for a single interest rate risk measurement empirical research tool for interest rate is less. Now the risk management because of technical problems of their own, it is difficult to fully and effectively meet the needs of market development, to provide effective support for the management of interest rate risk investment. Therefore, this paper focuses on the inter-bank bond repo market, while the integration of the three main interest rate sensitivity gap, duration convexity and VAR tools, and applications the mixed normal distribution, the principle of Monte Carlo simulation method, for the overnight repo rate and bond interest rate risk of China's inter-bank bond market and the relevant empirical analysis, and strive to The analysis tools can be used to effectively measure the interest rate risk of the national debt, and help the bond investors to manage the interest rate risk effectively and promote the further improvement of the national debt market in China.

【學(xué)位授予單位】：廣東外語外貿(mào)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 崔玉杰,李炅宇,沈愉;久期與免除戰(zhàn)略在資產(chǎn)—負(fù)債管理中的應(yīng)用原理初探[J];北方工業(yè)大學(xué)學(xué)報;2001年01期

2 潘冠中,邵斌;單因子利率模型的極大似然估計——對中國利率的實(shí)證分析[J];財經(jīng)研究;2004年10期

3 遲國泰;余方平;李洪江;劉軼芳;王玉剛;;單個期貨合約市場風(fēng)險VaR-GARCH評估模型及其應(yīng)用研究[J];大連理工大學(xué)學(xué)報;2006年01期

4 陳磊;任若恩;張金寶;;基于GARCH模型的風(fēng)險價值蒙特卡羅模擬[J];系統(tǒng)工程;2006年07期

5 于海穎,詹原瑞;期權(quán)定價理論在債券久期上的應(yīng)用[J];河北工業(yè)大學(xué)學(xué)報;2003年02期

6 鄧超,左衛(wèi)豐;久期模型及其最新拓展[J];湖南商學(xué)院學(xué)報;2005年04期

7 劉宇飛;VaR模型及其在金融監(jiān)管中的應(yīng)用[J];經(jīng)濟(jì)科學(xué);1999年01期

8 謝非;陳利軍;秦建成;;蒙特卡羅模擬法與歷史模擬法度量匯率風(fēng)險比較研究[J];經(jīng)濟(jì)師;2011年10期

9 錢列飛;黃玲芳;;指數(shù)有效久期模型的建立及分析[J];經(jīng)濟(jì)研究導(dǎo)刊;2007年01期

10 陳守東,俞世典;基于GARCH模型的VaR方法對中國股市的分析[J];吉林大學(xué)社會科學(xué)學(xué)報;2002年04期

本文編號：1364018