本文關(guān)鍵詞： 國債利率期限結(jié)構(gòu) 主成分分析 Fisher-Weil久期 免疫模型　出處：《西南財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來,國債期貨的出現(xiàn)、貸款利率市場化的推進(jìn)以及理財產(chǎn)品和貨幣基金對存款利率的沖擊對國債利率造成了巨大的影響,國債利率期限結(jié)構(gòu)在新形勢下產(chǎn)生了新的變化。本文首先使用主成分分析的方法對銀行間國債市場的利率期限結(jié)構(gòu)變動進(jìn)行了分析,發(fā)現(xiàn)我國收益率曲線的大部分波動可由前三個主成分所解釋,解釋程度達(dá)到76.71%。同時,我國的國債收益率曲線也表現(xiàn)出一些獨特的地方,比如收益率曲線的變動受短期利率變動的影響更大,而長期利率對利率期限結(jié)構(gòu)變動的影響則隨期限延長而逐漸減弱。 此外,本文探討了如何使用主成分的方法來控制利率風(fēng)險。利率期限結(jié)構(gòu)主成分分析的結(jié)果可以應(yīng)用于債券投資組合的套期保值,即通過對主成分進(jìn)行多方向的免疫從而控制利率期限結(jié)構(gòu)平行移動和非平行移動造成的利率風(fēng)險。具體思路如下：首先對利率期限結(jié)構(gòu)的歷史數(shù)據(jù)進(jìn)行主成分分析,再使用多方向的久期免疫模型對債務(wù)現(xiàn)金流進(jìn)行免疫,使得投資組合對收益率曲線波動的風(fēng)險不再敏感。
[Abstract]:In recent years, the appearance of treasury bond futures, the promotion of marketization of loan interest rate and the impact of wealth management products and monetary funds on deposit interest rate have had a great impact on the interest rate of national debt. The term structure of national debt interest rate has changed under the new situation. Firstly, the paper uses principal component analysis method to analyze the change of interest rate term structure in the inter-bank treasury bond market. It is found that most of the fluctuations of the yield curve in China can be explained by the first three principal components, and the degree of explanation reaches 76.71. At the same time, the yield curve of China's national debt also shows some unique features. For example, the change of yield curve is more affected by the change of short-term interest rate, while the influence of long-term interest rate on the change of term structure of interest rate is gradually weakened with the extension of term. In addition, this paper discusses how to use the principal component method to control interest rate risk. The results of principal component analysis of interest rate term structure can be applied to the hedging of bond portfolio. That is to control the interest rate risk caused by parallel and non-parallel movement of interest rate term structure through multi-direction immunization of principal components. The specific ideas are as follows: firstly, the principal component analysis is carried out on the historical data of term structure of interest rate. Then the multi-direction duration immune model is used to immunize the debt cash flow, which makes the portfolio less sensitive to the risk of the volatility of the yield curve.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F812.5;F822.0;F224

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本文編號：1532935