【作者】 杨宝臣； 廖珊； 苏云鹏；

【Author】 Yang Baochen, Liao Shan, Su Yunpeng (College of Management and Economics, Tianjin University, Tianjin 300072)

【机构】 天津大学管理与经济学部；

【摘要】 本文推导了仿射模型下的随机久期向量,并说明Vasicek、CIR模型下的随机久期是随机久期向量的特例。利用上交所国债数据进行实证检验,表明基于三因素非高斯、高斯仿射模型下随机久期向量的利率风险对冲误差分别显著小于基于CIR模型、Vasicek模型下随机久期的利率风险对冲误差,且非高斯模型下随机久期向量的利率风险对冲误差显著小于高斯模型下随机久期向量的利率风险对冲误差。更多还原

【Abstract】 The Stochastic Duration under Vasicek & CIR Model was extended to the Stochastic Duration Vector under the Multi-Factors Affine Term Structure Model. It is showed that the Multi-Factors Stochastic Duration Vector performs better than Stochastic Duration when used to hedge the interest rate risk of treasure bills traded in Shanghai Security Exchange. Besides, Non-Gaussian Affine Stochastic Duration performs better than Gaussian Affine Stochastic Duration Model.更多还原