【摘要】：本文基于中債國債收益率曲線的數(shù)據(jù),選用Vasicek模型對(duì)利率期限結(jié)構(gòu)進(jìn)行建模,討論"償二代"利率風(fēng)險(xiǎn)最低資本度量方法。本文以一款年金產(chǎn)品和十年期債券為例,對(duì)利率風(fēng)險(xiǎn)度量的標(biāo)準(zhǔn)法、蒙特卡洛模擬法分別建模,得到不同方法下利率風(fēng)險(xiǎn)的最低資本。研究結(jié)果表明:第一,"償二代"下利率風(fēng)險(xiǎn)的標(biāo)準(zhǔn)法與蒙特卡洛模擬法的輸出結(jié)果差異較大;第二,資產(chǎn)與負(fù)債評(píng)估不一致會(huì)導(dǎo)致利率風(fēng)險(xiǎn)最低資本被高估。
[Abstract]:Based on the data of the yield curve of Chinese bond, this paper uses Vasicek model to model the term structure of interest rate, and discusses the lowest capital measure method of interest rate risk of "repaying the second generation". Taking an annuity product and a ten-year bond as an example, this paper models the standard method of interest rate risk measurement and Monte Carlo simulation method, and obtains the minimum capital of interest rate risk under different methods. The results show that: first, the difference between the standard method and Monte Carlo simulation method of interest rate risk under the "second generation" is great; second, the inconsistency between assets and liabilities assessment will lead to overvaluation of the minimum capital of interest rate risk.
【作者單位】： 中央財(cái)經(jīng)大學(xué)保險(xiǎn)學(xué)院中國精算研究院;中國人壽保險(xiǎn)股份有限公司;中央財(cái)經(jīng)大學(xué)保險(xiǎn)學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究青年基金項(xiàng)目(15YJC790053) 北京市哲學(xué)社會(huì)科學(xué)重點(diǎn)項(xiàng)目(15ZDA47)
【分類號(hào)】：F842.3

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