债券资产组合研究

发布时间：2018-03-05 04:01

本文选题：债券　切入点：利率风险　出处：《广东商学院》2012年硕士论文　论文类型：学位论文

【摘要】：Markowitz现代资产组合理论的产生与发展，给金融市场提供了有效的风险管理工具，促进了金融市场的变革与金融体系的完善。然而该理论是基于股票型资产的，，而对于债券型资产，则需另辟蹊径。股票型资产的未来价值，其不确定性随着时间的增加而增加，但债券型资产，由于有固定的到期期限，其价值的不确定性会随时间的增加而减少（如果不考虑违约风险）。这一本质的差异导致Markowitz型资产组合理论不可直接用于债券市场，也是研究债券型资产组合的困难所在。债券型资产的风险主要来自于违约与利率的变动。本文的目的主要考察利率变动对于债券型资产组合的影响，研究利率风险免疫型债券组合的构建。作为传统的久期免疫策略，只能解决水平的利率期限结构且平行变动时的利率风险问题。本文试图在一般收益曲线下，通过对免疫型资产组合变化率的进一步分析与讨论，对其下限进行估计，得到了有意义的结果，并由此建立债券资产组合模型。这样的资产组合模型，简单明了，易于求解。一方面保证当收益曲线平行移动时，有正的收益率或变动率；另一方面保证当收益曲线非平行移动时，有尽可能高的下界，由此来达到利率风险管理的目的。
[Abstract]:The emergence and development of Markowitz's modern portfolio theory provide effective risk management tools for the financial market and promote the reform of the financial market and the perfection of the financial system. The uncertainty of the future value of equity assets increases with the increase of time, but bond assets, due to a fixed maturity period, The uncertainty of its value decreases with the increase of time (if default risk is not taken into account). This essential difference makes the Markowitz portfolio theory not directly applicable to the bond market, which is also the difficulty of studying bond portfolio. The risk of bond assets mainly comes from default and change of interest rate. This paper studies the construction of interest rate risk immune bond portfolio. As a traditional long-term immunization strategy, it can only solve the interest rate risk problem when the interest rate term structure is parallel to the change of interest rate structure. In this paper, we try to solve the problem of interest rate risk under the general income curve. Through the further analysis and discussion of the rate of change of immune portfolio, the lower bound of the portfolio is estimated, and the significant results are obtained, and the bond portfolio model is established. This kind of portfolio model is simple and clear. It is easy to solve. On the one hand, the positive rate of return or the rate of change is guaranteed when the yield curve moves parallel; on the other hand, the lower bound is as high as possible when the income curve is not parallel moving, so as to achieve the purpose of interest rate risk management.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

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