利率风险

基于方向久期利率风险免疫的资产负债组合优化模型

Optimization Model of Asset-Liability Portfolio Based on Directional Duration Immunization of Interest Rate Risk

利率风险度量方法主要包括：利率敏感性缺口法、持续期法、VaR三种方法。

Interest rate risk measurement method mainly includes : Interest rate sensitivity gap method , duration method and VaR.

MA模型与M2模型的基本原理相似，但它的推导是作为一阶利率风险套期保值模型进行推导的。

M-Absolute is similar to M-Square but is derived as a first-order interest-rate-risk hedging model .

在利率风险的管理策略里介绍了VAR的测算、资产负债管理和金融创新。

In the part of management strategy of interest risk , introduce the calculation of VAR , Asset-Liability-Management ( ALM ) and financial innovation .

提出了用Hurst指数H来衡量利率风险的方法，并对各同业拆借利率的风险进行了分析。

This dissertation proposes a method of measuring the risk of interest rate by Hurst exponent , and analyzes the risk of interbank rates .

接着对利率风险衡量模型进行了分析，比较敏感性缺口、久期、VaR、模拟分析的优缺点。

Then , analyzing evaluation model of interest rate risk , comparing advantage and disadvantage of sensitivity gap 、 duration 、 VaR 、 simulation analysis .

首先，文章介绍了几种利率风险测量的方法，包括基本点价格值、久期以及凸性。接下来文章讨论了两种典型的ALM的技术和策略，即现金流匹配技术和缺口分析技术。

First , the thesis introduces several methods of interest risk measurement including price value of basic point , duration and convexity .

本文首先详细讨论了利率风险的各种测度方法，通过比较发现，VaR模型在精确量化利率风险方面有着巨大优势。

The paper first discusses the various interest rate risk measuring techniques and finds that the VaR model has a huge superiority in the accuracy of interest rate risk measurement by comparison .

第二章，主要是详细介绍国外常用的几种利率风险度量模型，这主要分为三节，分别介绍利率敏感性缺口模型、持续期模型和VaR模型。

The second chapter mainly introduces the most common used interest rate risk measure models in the world , which is divided into three sections , interest rate sensitivity gap model , duration model and VaR model .

他们的研究方法大多沿袭传统的均值一方差分析方法，但将VaR技术运用到寿险定价的利率风险管理中还未尝见到。

There are many experts and life insurance workers studying on Interest Spread Risk from qualitative or quantitative ways by the mean-variance method , but writer has not yet found who analyzes Interest Spread Risk by VaR technique .

该系统以金融理论为依据，建立了债券组合的利率风险免疫模型，并以MS-WINDOWS为平台加以实现。

Based on the modern financial theory , two duration models of interest-rate risk immunization for bond portfolio were developed and implemented under MS-WINDOWS .

阐述了VAR的含义，指出了商业银行在运用VAR模型衡量个人理财产品的利率风险时，要注意两个因素的选取：一是时间间隔，二是置信水平。

The section defines the VAR and draws the attention of commercial banks to the selection of two factors when they adopt VAR model to measure the interest rate risk of personal financial products . The two factors are time interval and confidence level .

最后在结合国债市场数据的基础上，估计出随机久期模型的参数，并就各种久期模型对债券利率风险的免疫效果进行了对比，结果表明Moreno双因子久期模型能更好地度量利率风险。

Finally in conjunction with government bonds market data to estimate the parameters of the stochastic duration model , and compare the immunization effect of the various duration models . This paper finds that two-factor Moreno duration model is the best measurement of interest rate risk .

也可以利用期货进行套期保值了利率风险。

May also use futures to hedge out interest rate risk .

含期权债券利率风险的衡量

Measurement of Interest R at e Risk of Option Embedded Bond

商业银行利率风险识别实证研究

An Empirical Analysis of Interest Rate Risk of Commercial Banks

利率风险的防范离不开对利率风险的准确度量。

Controlling interest-rant risk mainly relys on the accurate measurement of it .

我国寿险公司的利率风险及防范

The Interest Risk of Life Insurance Company and the Precautions

商业银行利率风险管理机制的构建

The Establishment of the Interest Rate Risk Management Mechanism in Commercial Bank

反向抵押贷款利率风险的度量及防范

Measurement and Control of Interest Rate Risk in Reverse Mortgages

一个债券的利率风险的最好评价是它的久期。

A bond 's interest-rate risk is best measured by its duration .

具有两类相关风险的常利率风险过程破产函数

Ruin functions for two-class of risk processes with a constant interest rate

这就需要对债券利率风险结构进行分析。

It must be analyze risk structure of interest rate .

商业银行利率风险控制策略分析

Analyze the Control Strategy of Commercial Bank Interest Rate Risk

国债投资的利率风险免疫研究让物业管理各方共同面对装修风险

Study on the Immunization of Interest Risk of the Investment in Government Bonds

用久期&凸度方法预测企业可转换债券的利率风险

Duration and Convexity Method in Forecasting the Interest Rate Risk of Convertible Bond

中国寿险业利率风险管理研究

Study on the Interest Rate Risk Management of the Chinese Life Insurance Industry

运用久期模型进行利率风险管理的若干问题分析

An Analysis of Some Problems in Managing Interest Rate Risk with Duration Model

利率风险管理是商业银行的核心业务之一。

Interest-rate risk management is one of the commercial banks ' core businesses .

其次，以有效持续期为核心对隐含期权利率风险的衡量技术进行了分析。

Then the paper selects effective duration as the measurement of embedded option .