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

【摘要】：近年來(lái),我國(guó)國(guó)債市場(chǎng)快速發(fā)展,發(fā)行和交易量屢創(chuàng)新高,在我國(guó)金融市場(chǎng)上占有越來(lái)越重要的地位。國(guó)債投資的風(fēng)險(xiǎn)主要來(lái)源于利率的波動(dòng),隨著利率市場(chǎng)化改革的推進(jìn),市場(chǎng)利率波動(dòng)將更為頻繁和劇烈,并且隨著參與主體的擴(kuò)大,市場(chǎng)對(duì)持有的國(guó)債進(jìn)行風(fēng)險(xiǎn)管理的需求日益迫切。在國(guó)債期貨未推出,市場(chǎng)缺乏合適避險(xiǎn)工具的情況下,研究我國(guó)利率期限結(jié)構(gòu)的風(fēng)險(xiǎn)因素及債券投資組合的套期保值問(wèn)題具有重要的理論和現(xiàn)實(shí)意義。 對(duì)債券進(jìn)行利率風(fēng)險(xiǎn)管理,首先必須構(gòu)造出利率期限結(jié)構(gòu)。本文在借鑒國(guó)外先進(jìn)理論模型的基礎(chǔ)上,基于我國(guó)銀行間債券市場(chǎng)的實(shí)際情況,利用在西方國(guó)家成熟市場(chǎng)中廣泛應(yīng)用的Nelson-Siegel Svensson模型對(duì)我國(guó)國(guó)債利率期限結(jié)構(gòu)進(jìn)行了擬合估計(jì),得到了我國(guó)銀行間市場(chǎng)從2006年12月31日到2009年6月25日共597個(gè)交易日的國(guó)債利率期限結(jié)構(gòu),這段樣本區(qū)間覆蓋了我國(guó)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(yùn)用主成分分析法對(duì)我國(guó)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(guó)利率期限結(jié)構(gòu)變化的主要風(fēng)險(xiǎn)因素。由于時(shí)間窗口的選取對(duì)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(shí)期和利率頻繁波動(dòng)時(shí)期。實(shí)證結(jié)果顯示,總的來(lái)看三個(gè)主成分就足以對(duì)我國(guó)利率期限結(jié)構(gòu)的變動(dòng)進(jìn)行解釋。其中,在利率穩(wěn)定時(shí)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(gè)主成分對(duì)利率期限結(jié)構(gòu)變動(dòng)的影響隨時(shí)間變化較為平穩(wěn)。而在利率頻繁波動(dòng)時(shí)期,水平移動(dòng)因素對(duì)利率期限結(jié)構(gòu)變動(dòng)的解釋力度較大,各因素影響隨時(shí)間變化而又較大的波動(dòng)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(shí)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(dòng)時(shí)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(guò)對(duì)我國(guó)國(guó)債套期保值策略的實(shí)證研究,本文期望能為國(guó)債市場(chǎng)的參與者提供國(guó)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(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F812.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 張繼強(qiáng);債券利率風(fēng)險(xiǎn)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(hào)：2065777