| 债券风险分析的布朗桥运动模型 |
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| 引用本文： | 蔡明超,杨朝军,张静.债券风险分析的布朗桥运动模型[J].上海交通大学学报,2002,36(4):570-573. |
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| 作者姓名： | 蔡明超 杨朝军 张静 |
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| 作者单位： | 上海交通大学,安泰管理学院,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目 ( 70 0 730 17) |
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| 摘 要： | 以1998－1999年在上海证券交易所上市的国债为对象，采用布朗运动模型对国债的波动特征进行了实证分析。研究表明，剩余期限、持有时间是影响债券风险的重要因素，债券风险与其初期和到期价格无关，采用波动幅度作为风险指标要优于方差。
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| 关 键 词： | 债券 风险分析 布朗桥运动模型 货币政策 |
| 文章编号： | 1006-2467(2002)04-0570-04 |
| 修稿时间： | 2001年1月9日 |
Brown Bridge Model in Risk Analysis of Government Bonds |
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| CAI Ming chao,YANG Chao jun,ZHANG Jing.Brown Bridge Model in Risk Analysis of Government Bonds[J].Journal of Shanghai Jiaotong University,2002,36(4):570-573. |
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| Authors: | CAI Ming chao YANG Chao jun ZHANG Jing |
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| Abstract: | The trading data from 1998 to 1999 of the bonds listed in Shanghai Stock Exchange was empirically analyzed. Brown bridge model was adopted to study the risk characters of the government bonds. It is found that the maturity and holding period are two important factors that influence bond risk, but the bond prices aren't. In Brown bridge model the fluctuation ratio fits better than the variance as an indicator of risk. The current nominal interest rate is the lowest since 1980, the risk of government bonds is very great, so Brown bridge model is especially important in the bonds portfolio management. |
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| Keywords: | Brown bridge model duration monetary policy |
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