久期模型对我国债券价格估算精度的比较研究

发布时间：2018-02-23 13:46

本文关键词： 久期模型非线性特征估算精确度利率期限结构　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：中国人民银行在2000年公布了我国利率市场化改革的原则与计划,这标志着我国的利率市场化进程正式拉开帷幕。随着我国利率市场化进程的深入,利率波动幅度和频率将会越来越大,利率变动引发的风险对经济体的冲击将日趋严重。作为度量利率风险的重要工具之一,久期模型在规避利率风险等方面日益受到人们的重视,然而选择适当的久期模型也是构建利率风险免疫系统的重要环节。研究首先从利率期限结构入手,分别从静态和动态两方面实证分析了2010年到2012年我国利率期限结构的形态和动态变动趋势。然后根据理论公式计算出债券样本的久期数据和债券理论价格波动率,通过比较债券的理论价格波动率和实际价格波动率,分析比较出各久期模型对债券价格估算的精确度,为选择适当的久期模型提供参考依据。根据数据分析得出,相对于修正久期——凸性模型和方向久期模型,用F--W久期模型对债券价格进行估算的精确度更高,能更好的解释实际价格波动趋势。通过对利率期限结构的实证分析知道我国利率期限结构呈非线性形态,并且近期出现近似于向上平行移动的趋势。而F--W久期模型的成立是基于非线性利率期限结构和只能上下平行移动的假设条件,因此从理论上也进一步验证了数据分析得出的结论,即F—W久期模型更能适应我国目前的市场状况,利率期限结构的非线性特征已成为选择久期模型过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.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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