基于关键利率期限结构的利率风险的度量

发布时间：2018-01-28 19:52

本文关键词： 利率风险利率期限结构关键利率持续期 Weibull分布 VaR CVaR　出处：《武汉理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：利率的剧烈波动是当今世界各种金融机构都要面对的严峻挑战,如果金融机构及其他参与者不能有效的利用各种手段管理利率风险,那么利率的变化将导致巨额财富的转移与重新分配.管理利率风险的有效方法是利用持续期模型,但是传统的持续期模型只能解释无违约债券大约百分之七十的利率风险,这对于利率风险管理所希望达到的精确程度,是远远不够的.因此,近年来出现了很多新的持续期模型,包括在本文中详细讨论的关键利率持续期模型. 各种持续期模型的建立及对其效果的评估与利率期限结构密不可分.在对不同利率期限结构理论研究的基础上往往可以建立相应的利率风险模型.同时,各种利率风险模型的适用范围和效果也与利率期限结构的特征与变动情况密切相关.因此,本文详细分析了利率期限结构理论及现实生活中构造利率期限结构的方法. 利率风险模型与现实紧密相连,对模型的讨论最终要应用到现实生活中.因此论文的设计充分考虑到了这一点：本文首先从分析国债市场交易数据开始,根据具体情况建立利率期限结构；其次将利率期限结构与关键利率持续期相结合；最后将关键利率持续期运用到风险值与条件风险值的计算当中. 全文共分为五部分：第一部分,主要对利率风险模型的理论和国内外的研究文献进行了综述,着重指出了利率的期限结构与利率风险模型之间的紧密关系,对我国现阶段的研究情况进行了分析并说明论文的研究方向. 第二部分,详细讨论了利率的期限结构理论和在实际生活中,利率期限结构具体是如何构造的. 第三部分,利率风险模型是本文的重点章节.在这一部分里,分析了几种传统的持续期模型,以及有优势的关键利率期限结构模型. 第四部分,属于实证分析：先利用三次样条函数得到利率期限结构,利用十种债券构成三种资产组合分别计算关键利率持续期,并模拟出关键利率变化量的分布Weibull分布；最后进行风险值VaR与条件风险值CVaR的计算. 第五部分,是结论与展望.
[Abstract]:The sharp fluctuation of interest rate is a severe challenge to all kinds of financial institutions in the world. If financial institutions and other participants can not effectively use various means to manage interest rate risk. Then the change of interest rate will lead to the transfer and redistribution of huge wealth. The effective way to manage interest rate risk is to use the duration model. However, the traditional duration model can only explain the interest rate risk of non-default bonds about 70%, which is not enough for the accuracy of interest rate risk management. In recent years, many new duration models have emerged, including the key interest rate duration model discussed in detail in this paper. The establishment of various duration models and the evaluation of their effects are closely related to the term structure of interest rate. On the basis of the theoretical study of different term structure of interest rate, the corresponding interest rate risk model can be established. At the same time. The applicability and effect of various interest rate risk models are closely related to the characteristics and changes of interest rate term structure. In this paper, the theory of term structure of interest rate and the method of constructing term structure of interest rate in real life are analyzed in detail. The interest rate risk model is closely connected with the reality, and the discussion of the model should be applied to the real life. Therefore, the design of this paper fully takes this point into account: firstly, this paper begins with the analysis of the trading data in the national debt market. Establish term structure of interest rate according to specific situation; Secondly, the term structure of interest rate is combined with the duration of key interest rate; Finally, the key interest rate duration is applied to the calculation of risk value and conditional risk value. The full text is divided into five parts: The first part mainly summarizes the theory of interest rate risk model and domestic and foreign research literature, and emphatically points out the close relationship between the term structure of interest rate and the interest rate risk model. This paper analyzes the current research situation of our country and explains the research direction of the thesis. In the second part, the theory of term structure of interest rate and how to construct the term structure of interest rate in real life are discussed in detail. In the third part, interest rate risk model is the key chapter of this paper. In this part, we analyze several traditional duration models, as well as the key interest rate term structure model. Part 4th is an empirical analysis: first, we use cubic spline function to get the term structure of interest rate, and use ten kinds of bonds to form three kinds of portfolio to calculate the duration of key interest rate. The Weibull distribution of the key interest rate variation is simulated. Finally, the risk value VaR and conditional risk value CVaR are calculated. Part 5th is the conclusion and prospect.
【学位授予单位】：武汉理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F820;F224

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