摘要
利率风险是债券投资管理中所要解决的一个重要问题。利用久期模型进行利率风险管理存在的利率期限结构非平行移动问题一直是国际上研究的焦点，Ｍ２模型即为解决方法之一。本文利用Ｍ２模型对我国国债市场中的利率风险进行了实证研究。结果表明，该模型较适合于我国国债投资的需要，在利率风险管理中可以产生较好的免疫效果。
The IRR management has become an important part of investment study, and there are many IRR management models. Study about the assumption of non parallel shift of interest rate term structure has been essentially the subject of many researchers. This article proposes and tests the Fong & Vasicek's M 2 model, which proves to have a better effect in the securities investment in China and is easy for operation, and therefore, it is worth of investors' consideration.
出处
《系统工程理论方法应用》
1999年第1期1-6,10,共7页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金
国家教委跨世纪优秀人才基金
关键词
利率风险
随机过程风险
债券投资
最小化模型
interest rate risk(IRR) immunization stochastic process risk M 2 model
