对债券利率风险分析工具的探索性改良

发布时间：2018-01-01 10:04

本文关键词：对债券利率风险分析工具的探索性改良　出处：《广东外语外贸大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化、金融国际化和国内利率市场化，，风险分析正成为金融投资领域的一颗新星。我国利率市场自上世纪90年代开始市场化步伐，并在此过程中取得了不少的突破。甚至可以预见，我国利率必将最终实现由市场供求共同决定。这带给我国国债投资的，不仅是更多的机遇，还有更多的风险。利率风险是国债投资的最主要风险之一，如何有效测量、监控和处理国债的利率风险，对国债投资具有重大的意义。现有国内外对于商业银行利率风险的研究主要集中在利率期限结构、久期、凸度、缺口、隐含期权的利率风险，且大多数为理论探讨和模型推导，定量研究债券利率风险的比较少，再者,对于单一利率风险的度量实证研究也较少。现在的利率风险管理工具均因为各自本身的技术问题，难以全面而有效地适应市场发展的需要，为投资进行利率风险管理提供有效的支持。为此，本文着眼于银行间债券回购市场，同时整合敏感性利率缺口、久期-凸度和VAR三种主要工具，并应用混合正态分布、蒙特卡罗模拟法等原理，对我国银行间债券市场的隔夜回购利率和债券利率风险进行相关的实证分析，力求得出能有效测量国债利率风险的分析工具，帮助债券投资者有效管理利率风险，促进我国国债市场的进一步完善。
[Abstract]:With the economic globalization, financial internationalization and domestic interest rates, risk analysis is becoming a new star in the field of financial investment. China's interest rate market started the pace of the market since the last century in 90s, and in the process has made many breakthroughs. Even predictably, interest rates in China will ultimately determined by market supply and demand. Bring our bond investment, is not only more opportunities and more risk. The interest rate risk is one of the main risk investment, how to effectively measure the interest rate risk, monitoring and treatment of national debt, is of great significance to Chinese investment in debt.
The existing domestic and foreign research on the interest rate risk of commercial banks mainly focused on the term structure of interest rate, duration, convexity, gap option implied interest rate risk, and the majority of theory and model, quantitative research of interest rate risk is relatively small, moreover, for a single interest rate risk measurement empirical research tool for interest rate is less. Now the risk management because of technical problems of their own, it is difficult to fully and effectively meet the needs of market development, to provide effective support for the management of interest rate risk investment. Therefore, this paper focuses on the inter-bank bond repo market, while the integration of the three main interest rate sensitivity gap, duration convexity and VAR tools, and applications the mixed normal distribution, the principle of Monte Carlo simulation method, for the overnight repo rate and bond interest rate risk of China's inter-bank bond market and the relevant empirical analysis, and strive to The analysis tools can be used to effectively measure the interest rate risk of the national debt, and help the bond investors to manage the interest rate risk effectively and promote the further improvement of the national debt market in China.

【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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