| 基于CKLS过程的国债利率风险计量的实证分析 |
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| 引用本文： | 朱小明,饶育蕾,刘湘云.基于CKLS过程的国债利率风险计量的实证分析[J].系统工程,2011(8). |
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| 作者姓名： | 朱小明 饶育蕾 刘湘云 |
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| 作者单位： | 中南大学商学院;广东商学院金融学院; |
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| 基金项目： | 广东省自然科学基金资助项目(8151032001000005) |
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| 摘 要： | 以我国国债市场为例,利用4种期限类型(7年期、8年期、10年期和20年期)的国债收益率样本数据对CKLS框架下各种利率动态模型进行实证分析得出,CIR模型较适宜于中国当前的金融市场实际;实证研究中考虑广义矩方法(GMM)可能存在某些问题,如效率不高等,本文使用Nowman(1997)提出的最大似然估计法(MLE)对上述利率动态模型进行估计。在此基础上,构建了基于利率期限结构的久期模型并进行经验计算。
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| 关 键 词： | 利率风险 CKLS过程 国债 |
The Empirical Analysis of the Econometric Model of Interest Rate Risks of Treasury Bonds based on CKLS Process |
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| ZHU Xiao-ming,RAO Yu-lei,LIU Xiang-yun.The Empirical Analysis of the Econometric Model of Interest Rate Risks of Treasury Bonds based on CKLS Process[J].Systems Engineering,2011(8). |
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| Authors: | ZHU Xiao-ming RAO Yu-lei LIU Xiang-yun |
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| Institution: | ZHU Xiao-ming1,RAO Yu-lei1,LIU Xiang-yun2(1.School of Business,Central South University,Changsha 410083,China,2.School of Finance,Gunagdong University of Business Studies,Guangzhou 510320,China) |
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| Abstract: | The paper conducts a empirical analysis of all kinds of dynamic interest rate models by taking four types of interest rate term structure (i.e.7 years,8 years,10 years and 20 years) of our country's Treasury bond market as an example.These results are: CIR model is more suitable to China's present practice;MLE can be used to estimate kinds of dynamic models of interest rate,because GMM is inefficient.Finally this paper sets up the Duration model on basis of four types of interest rate term structure and car... |
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| Keywords: | Interest Rate Risk CKLS Process Treasury Bond |
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