【作者】 董越；

【导师】 杨宝臣；

【作者基本信息】 天津大学 ， 数量经济学， 2006， 硕士

【摘要】 固定收益产品组合的风险管理是目前固定收益以及金融工程领域的一项十分重要的研究课题。本文的目的在于通过回顾固定收益产品传统的风险度量方法,以及随机利率期限结构理论近二十年的发展历程,研究分析在各种利率期限结构的经典模型框架下,固定收益产品的风险度量模型,并将其应用到利率风险管理领域。本文首先研究传统的风险度量模型,包括久期和凸度模型,并介绍了M 2这种基于现金流变异的风险度量模型。并给出了传统的利率免疫方法。在利率期限结构的动态研究方面,本文主要研究随机利率期限结构模型,并将随机利率期限结构模型分为均衡模型和无套利模型两大类。均衡模型主要回顾了Merton模型,Vasicek模型和CIR模型;无套利模型简要分析了Ho-Lee模型,Hull-White模型,Black-Derman-Toy模型并重点分析了Health-Jarrow-Merton模型。在基于随机利率期限结构模型的利率风险度量研究上,本文首先推导分析了基于Vasicek模型和CIR模型的久期度量,然后重点研究了基于单因素HJM模型的久期度量和凸度度量模型。最后给出了基于单因素HJM模型风险度量构建免疫组合与传统免疫组合构造的实证结论。在固定收益组合的风险管理应用研究上,本文研究了了利率风险管理的策略,利率风险管理体系和管理原则。利用主成分分析法分析了利率波动的影响因素,通过美国国债的利率数据实证研究,确定影响利率波动的主要影响因素和影响程度。重点分析了收益率曲线平行且小幅度振动和收益率曲线非平行且大幅度振动两种情况下的利率风险免疫,并在随机利率期限结构HJM框架下进行了债券免疫组合的构建。最后运用随机投资期限规划技术进行债券组合的利率风险免疫模型的研究。更多还原

【Abstract】 Risk management of fixed income portfolio is one of the most important works in fixed income research and financial engineering. After reviewing the measurement of fixed income product risk and the evolving process of theories on term structure of interest rate, we analyzed the measure risk of fixed income product under the classic term structure of interest rate and apply them into the management of interest rate risk. The dissertation firstly analyzed the classic measurement of the risk, such as Duration and Convexity. Also we analyzed another measurement of risk called M-square that is based on the cash flows and how to realize immunization of portfolios.As for the dynamic study of term structure of interest rates, the dissertation introduced the stochastic term structure of interest and divided the models into equilibrium models and no-arbitrage models. Equilibrium models included Merton, Vasicek, CIR models, the latter included Ho-lee, Hull-White, BDT and HJM class models.As for the measurement of interest rate risk based on the stochastic term structure of interest rate models, the dissertation firstly analyzed the duration based on the Vasicek, and CIR models. Then the dissertation analyzed the duration and convexity based on one-factor HJM class models. Finally the dissertation presented the conclusion of the immunization based on one-factor HJM models.As for the risk management of fixed income portfolios, the dissertation introduced interest rates management policies and principles. Then the dissertation used the Principal Component Analysis to analyze the factors that influence the volatility of interest rate. Also the last chapter analyzed interest rates risk immunity strategies according to the change scope of the yield curve, and finally designed bond immunity portfolio under the HJM frames of stochastic term structure of interest rate. Finally, the dissertation analyzed the random investment period model and immunity portfolio.更多还原