久期分析

最后，作者得出缺口分析和久期分析在我国商业银行利率风险评估中的可行性结论。按照此思路，本文分成三个部分进行论述。

Finally , the authors draw a conclusion about the feasibility of gap analysis and duration analysis . Second is the development of two major interest rate risk assessment methods .

金融租赁公司的久期缺口分析是利用久期管理利率风险的主要方法，但久期模型运用中也存在着诸如久期对称成本高、利率风险免疫动态性及凸性等问题。

The financial leasing corporation usually use interest rate exposure to manage the interest rate risk although there are some problems in the exercise of duration model .

基于商业银行利率风险管理的久期模型比较分析

Comparative Analysis of Duration Model Based on Commercial Bank Interest Rate Risk Management

金融工程：久期模型及其数学分析

Financial Projects : Duration Models and Mathematical Analysis

包括各种传统的久期模型和随机久期模型，其中传统的久期模型本文分析了Macaulay久期、修正久期和Fisher-Weil久期，随机久期模型本文分析了两种单因子随机久期和一种双因子久期。

The traditional duration models contain Macaulay duration , Modified duration and Fisher-Weil duration . And the stochastic duration models contain two kinds of single-factor stochastic duration and a kind of two-factor stochastic duration .