国债利率期限结构的统计分析及多维免疫策略

发布时间：2018-02-25 04:09

本文关键词： 国债利率期限结构主成分分析 Fisher-Weil久期免疫模型　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来,国债期货的出现、贷款利率市场化的推进以及理财产品和货币基金对存款利率的冲击对国债利率造成了巨大的影响,国债利率期限结构在新形势下产生了新的变化。本文首先使用主成分分析的方法对银行间国债市场的利率期限结构变动进行了分析,发现我国收益率曲线的大部分波动可由前三个主成分所解释,解释程度达到76.71%。同时,我国的国债收益率曲线也表现出一些独特的地方,比如收益率曲线的变动受短期利率变动的影响更大,而长期利率对利率期限结构变动的影响则随期限延长而逐渐减弱。此外,本文探讨了如何使用主成分的方法来控制利率风险。利率期限结构主成分分析的结果可以应用于债券投资组合的套期保值,即通过对主成分进行多方向的免疫从而控制利率期限结构平行移动和非平行移动造成的利率风险。具体思路如下：首先对利率期限结构的历史数据进行主成分分析,再使用多方向的久期免疫模型对债务现金流进行免疫,使得投资组合对收益率曲线波动的风险不再敏感。
[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.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F812.5;F822.0;F224

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