| 利率风险测度技术文献综述 |
| |
| 引用本文： | 张远为,YAN Fei.利率风险测度技术文献综述[J].未来与发展,2008,29(8). |
| |
| 作者姓名： | 张远为 YAN Fei |
| |
| 作者单位： | 湖北经济学院金融学院,湖北,武汉,430205 |
| |
| 基金项目： | 湖北省教育厅人文社会科学规划项目，湖北省金融发展与金融安全研究中心资助项目 |
| |
| 摘 要： | 20世纪70年代开始的西方国家利率市场化改革,加剧了利率波动,增加了金融企业的利率风险,为此,国外学术界和实业界提出许多测度利率风险的方法.从利率敏感性缺口模型、持续期缺口模型、凸度模型到含有违约风险的利率风险测度模型、收益率曲线非平行移动时的利率风险测度模型、含有隐含期权的利率风险测度模型,前提假定更符合现实情况,提高了对利率风险估计的精确度.
|
| 关 键 词： | 利率风险测度 持续期 凸度 |
A Literature Summery on the Measure of Interest Rate Risk |
| |
| ZHANG Yuan-wei,YAN Fei.A Literature Summery on the Measure of Interest Rate Risk[J].Future and Development,2008,29(8). |
| |
| Authors: | ZHANG Yuan-wei YAN Fei |
| |
| Institution: | ZHANG Yuan-wei1,YAN Fei2 (1.Finance School,Hubei University of Economics,Wuhan Hubei 430205,China,2.Hubei University of Economices,China) |
| |
| Abstract: | The reform of interest rate marketization started in 1970s in western countries increased the volaitlity of interest rate and interest rate risk of financial enterprise. For coping with the situation,academics and practtitioners have developed many models to measure interest rate risk. From interest rate sensitivity gap model,the duration gap model and the convexity model to the interest rate risk measure model with default risk,the interest rate risk measure model under a non-parallel shift in the yield cu... |
| |
| Keywords: | the measure of interest rate risk duation convexity |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
