【摘要】 风险的价值(VaR)越来越受到人们的关注,VaR的估计主要依赖于参数、数据、假设和方法。本文提供了计算债券组合的VaR模型,并介绍了基准利率久期和凸度的概念。更多还原

【Abstract】 Increasingly,value at risk (VaR) has gained acceptanec.VaRs are dependednt on parameters,data,assumptions and methodology.In this paper,value at Risk (VaR) model of portfolio of Bonds is proposed.This artcle describes the concepts of key rate duration and key rate convexity.更多还原