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将基于N e lson-S iege l模型的广义久期向量模型进行扩展,引入一个新的因素得到了扩展的久期向量模型,并给出了其在Svensson模型及四形状因素模型下的实现。利用上交所国债数据进行实证检验,表明引入额外的曲度因素可以显著改善风险对冲效果。此外,四形状因素久期向量模型对冲利率风险的效果略好于Svensson久期向量模型,且前者待估计参数更少,是更理想的利率风险对冲模型。
The generalized long-term vector model based on Wilson-Siege model is extended, a new long-term vector model is derived by introducing a new factor, and its implementation under Svensson model and four-shape factor model is given. The empirical test using the data of the Shanghai Stock Exchange’s national debt shows that the introduction of additional curvature factors can significantly improve the effect of risk hedging. In addition, the four-shaped long-term vector model hedges the interest rate risk slightly better than the Svensson long-term vector model, and the former has fewer parameters to be estimated, so it is a better hedging model for interest rate risk.