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1、摘 要 摘 要 我国的利率市场化已步入实质性阶段。利率市场化进程的加速极大地推动着中国债券市场的进一步发展，同时也扩大了金融资产价格波动的幅度。目前，我国已基本实行了债券发行利率、债券交易利率的市场化，债券投资中的利率风险日益凸显，选择有效防范利率风险的办法和途径是当前需要解决的一个现实问题，但目前国内不论在理论界，还是在实务界，有关债券利率风险管理的系统性研究和运用并不多见，本文算是一个尝试。 投资无违约风险的不含选择权的债券所面临的风险主要是利率风险。利率风险的度量和规避是债券投资中利率风险管理的两个重要环节。本文分两大部分，第一部分对债券投资中的利率风险效应和度量进行了阐述。市场利率的变
2、动决定债券投资总报酬率的高低，利率变动对投资收益的影响主要反映在两个方面：价格效应和再投资效应。文章先论述了债券价格与利率间的关系，分析了债券价格波动的影响因素和特征；接着引入了利率风险的度量方法，同时对利率期限结构进行了阐述。第二部分主要论述了基于久期概念的免疫策略的作用机理。文章先论证了在水平收益率曲线平行移动的情形下及利率变动是随机过程情形下免疫策略的作用原理；然后针对免疫策略的局限性，又讨论了收益率曲线风险和关键利率久期。 本文的创新之处在于对问题既进行直观的说明，又有着严格的数学推导，并能结合我国目前债券市场的现状进行分析。图表说明和数学论证的相对称使用，更利于澄清概念；债券投资的管
3、理人员熟悉金融方程的数学处理，易于对利率风险的分析形成清晰的、可操作的理解，有助于形成实践知识。 关键词：关键词：利率风险；久期；免疫 Abstract The market-oriented of process of interest rate our country has already stepped into substantive stage. With the liberalization advancing, deepen; bond market has development greatly in China. But it expands the range that
4、the price of the financial assets fluctuation at the same time. At present, our country has already implemented liberalization on issuing and trading of bonds interest rate basically. The increase is accelerating in the interest rate risk of bond investment. It is a realistic problem to choose the m
5、ethods and ways of avoiding risk. But the reality is that we still have not made a systematic research on it. This paper attempts to discuss it. The major risk faced by investors is interest rate risk when bond has no default and free-option. To measure and evade the interest rate risk is two import
6、ant links of risk management in the bond investment. The paper divided into two major parts. The first part has analysis of the interest rate risk effect and measurement methods. The change of the interest rate of market determines the level of the total returns. It reflects in two aspects mainly: p
7、rice effect and reinvestment effect. The paper describes relationship between bond price and interest rate firstly, as well as analysis of price volatility characteristics and factors affecting of a bond. Then the methods of measure interest rate risk are presented, and explain the term structure. T
8、he second part describes the principle of immunization strategies of based on duration concept mainly. The paper proves it under the parallel shift and under the stochastic process situation. To the limitations of the immunization strategies, then has analysis of the yield curve risk and key rate du
9、ration. The paper not only illustrates principle with numerical examples and graphs but also demonstrates them with strict mathematical proofs, as well as analysis on current situation of bond market in China. These come into the highlights in the paper. Mathematical demonstrating and what chart sym
10、metrical to use, do benefit to concept of clarifying and link to each other it with analysis of reality closely even more. It contributes to analyzing of interest rate risk and forming practice knowledge, when the administrative staff of bond investment is familiar with the financial equation. Key w
11、ords: Interest Rate Risk; Duration; Immunization 目目 录录 第一章第一章 绪绪 论论.1 1.1 选题的背景和意义选题的背景和意义.1 1.2 利率风险管理的涵义利率风险管理的涵义.4 第二章第二章 债券的价格和收益率债券的价格和收益率 .8 2.1 债券的特点和分类债券的特点和分类.8 2.2 债券的定价债券的定价.9 2.3 债券的收益率债券的收益率. 11 2.4 债券价格波动的特征债券价格波动的特征.14 2.5 我国国债的价格收益率关系我国国债的价格收益率关系.24 附录附录 2A 债券价格波动特征的数学证明债券价格波动特征的数学证明.26 第三章第三章 利率期限结构理论利率期限结构理论 .30 3.1 即期利率与远期利率即期利率与远期利率.30 3.2 传统的利率期限结构理论传统的利率期限结构理论.33 3.3 现代的利率期限结构理论现代的利率期限结构理论.38 3.4 我国的利率期限结构我国的利率期限结构.41 第四章第四章 债券的利率敏感性分析债券的利率敏感性分析 .45 4.1 久期和利率敏感度久期和利率敏感度.47 4-2 凸性凸性.54 4-3 对久期的再讨论对久期的再讨论.59 4-4 我国国债价格的敏感性分析我国国债价格的敏感性分析.65 附录附录 4A 久期可加性的证明久期可加性的证明.
