收益率曲線非平行變化下的利率風(fēng)險(xiǎn)控制.pdf

1、高嗣戈茅碩士研究生畢業(yè)(學(xué)位)論文姓名：蔣蘊(yùn)偉年級(jí)：20舵級(jí)專業(yè)：金融學(xué)研究方向：投資管理論文題目：收益率曲線非平行變化下的利率風(fēng)險(xiǎn)控制指導(dǎo)教師：阮吉壽副教授完成日期：2004年10月南開(kāi)大學(xué)深圳金融工程學(xué)院二零零四年十月AbstractTheBondMarketstartedfrom1981inourcountryandhascomeintobeingainfluentialtradeinfinancialareaaftermoret

2、han20yearsdevelopmentHoweveronrBondMarketisratherbackwardinmanyaspectscomparingwitlltheadvancedInternationalMarketTherestillaresomedefectsexistingindomesticBondMarket，suchaslackingofdiversifiedrisk—avoidfinancialproducts

3、，beingshortofinvestingexperienceamongindividualsandmatureinvestingbehavioramongorganizationsTheseproblems，especiallytheinterestriskofBondwillprominentitselfinthecourseoftherapiddevelopmentoffmancialindustryanddefinitelyb

4、ecomethefirstimportantquestionwhichinvestorshouldpaymoreattentiontoAfterlongtimedevelopment，theBondMarketinadvancedcountrieshasalwaysbeingapproachaperfectoneSomebondscholars，likeFabozi“andVasicek，putforwardmanyrisk—avoid

5、theorieswhichledtheindividualinvestortakearationalactionThisarticleintroducestheMsquaredTheorywhichFongandVasicekcreatedin1980’S，andprovidesachoiceofriskcontrolwhichmayplayaroleinourmarketInthisarticle，Ifirstlybrieflyint

6、roducetheconceptofinterest，theformofrisk；then1wouldsetforththeexistingtheoriesandmethodswhichhelptocontroltheinterestrisk；thiNlNIinputthebondtradedataof5，2004ofShan曲ai’SStockExchangeintotheM—squaremodelandtraditionalmode