發(fā)布時(shí)間：2018-02-23 13:46

  本文關(guān)鍵詞： 久期模型 非線性特征 估算精確度 利率期限結(jié)構(gòu)　出處：《天津財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：中國人民銀行在2000年公布了我國利率市場化改革的原則與計(jì)劃,這標(biāo)志著我國的利率市場化進(jìn)程正式拉開帷幕。隨著我國利率市場化進(jìn)程的深入,利率波動(dòng)幅度和頻率將會(huì)越來越大,利率變動(dòng)引發(fā)的風(fēng)險(xiǎn)對(duì)經(jīng)濟(jì)體的沖擊將日趨嚴(yán)重。作為度量利率風(fēng)險(xiǎn)的重要工具之一,久期模型在規(guī)避利率風(fēng)險(xiǎn)等方面日益受到人們的重視,然而選擇適當(dāng)?shù)木闷谀Ｐ鸵彩菢?gòu)建利率風(fēng)險(xiǎn)免疫系統(tǒng)的重要環(huán)節(jié)。 研究首先從利率期限結(jié)構(gòu)入手,分別從靜態(tài)和動(dòng)態(tài)兩方面實(shí)證分析了2010年到2012年我國利率期限結(jié)構(gòu)的形態(tài)和動(dòng)態(tài)變動(dòng)趨勢。然后根據(jù)理論公式計(jì)算出債券樣本的久期數(shù)據(jù)和債券理論價(jià)格波動(dòng)率,通過比較債券的理論價(jià)格波動(dòng)率和實(shí)際價(jià)格波動(dòng)率,分析比較出各久期模型對(duì)債券價(jià)格估算的精確度,為選擇適當(dāng)?shù)木闷谀Ｐ吞峁﹨⒖家罁?jù)。 根據(jù)數(shù)據(jù)分析得出,相對(duì)于修正久期——凸性模型和方向久期模型,用F--W久期模型對(duì)債券價(jià)格進(jìn)行估算的精確度更高,能更好的解釋實(shí)際價(jià)格波動(dòng)趨勢。通過對(duì)利率期限結(jié)構(gòu)的實(shí)證分析知道我國利率期限結(jié)構(gòu)呈非線性形態(tài),并且近期出現(xiàn)近似于向上平行移動(dòng)的趨勢。而F--W久期模型的成立是基于非線性利率期限結(jié)構(gòu)和只能上下平行移動(dòng)的假設(shè)條件,因此從理論上也進(jìn)一步驗(yàn)證了數(shù)據(jù)分析得出的結(jié)論,即F—W久期模型更能適應(yīng)我國目前的市場狀況,利率期限結(jié)構(gòu)的非線性特征已成為選擇久期模型過程中不可忽略的重要因素。
[Abstract]:In 2000, the people's Bank of China announced the principles and plans of the interest rate marketization reform in China, which marked the beginning of the interest rate marketization process in China. The range and frequency of interest rate fluctuations will be increasing, and the risks caused by interest rate changes will become more and more severe to the economy. As one of the important tools to measure interest rate risk, People pay more and more attention to the duration model in the aspect of avoiding interest rate risk, but choosing appropriate duration model is also an important link in constructing interest rate risk immune system. The study begins with the term structure of interest rate. This paper empirically analyzes the form and dynamic trend of the term structure of interest rate from 2010 to 2012 in China from static and dynamic aspects, and then calculates the duration data of bond sample and the volatility of bond price according to the theoretical formula. By comparing the theoretical price volatility and the actual price volatility of bonds, the accuracy of each duration model for bond price estimation is analyzed and compared, which provides a reference for the selection of appropriate duration model. According to the data analysis, compared with the modified duration convexity model and the directional duration model, the F-W duration model is more accurate to estimate the bond price. Through the empirical analysis of the term structure of interest rate, we know that the term structure of interest rate in China is nonlinear. Moreover, there is a trend of parallel upward movement in recent years, and the F W duration model is based on the nonlinear term structure of interest rate and the assumption that it can only move parallel up and down. Therefore, the conclusion of the data analysis is further verified theoretically, that is, the F-W duration model is more suitable for the current market situation in China, and the nonlinear characteristics of the term structure of interest rate have become an important factor that can not be ignored in the process of choosing the duration model.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1526796