收益率曲線非平行變化下的利率風險控制.pdf

1、高嗣戈茅碩士研究生畢業(yè)(學位)論文姓名：蔣蘊偉年級：20舵級專業(yè)：金融學研究方向：投資管理論文題目：收益率曲線非平行變化下的利率風險控制指導教師：阮吉壽副教授完成日期：2004年10月南開大學深圳金融工程學院二零零四年十月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