多因子HJM框架下的利率风险测度模型

在多因子HJM (Health-Jarrow-Morton) 模型框架下,定义了多利率风险因素的随机利率风险测度模型. 基于两因子和三因子HJM 模型,给出了多因子HJM 模型下的随机利率风险测度模型的具体实例. 实证分析部分比较了传统与随机、单因子与多因子利率风险测度的利率风险免疫效果. 实证结果显示,多因子HJM 模型下的随机利率风险测度模型的免疫效果明显优于单因子随机利率风险测度的免疫效果,更能充分显示出随机利率风险测度较之传统利率风险测度的优越性,在利率风险管理中具有较高的应用价值.

Interest rate risk measure model under the multi-factor HJM framework

Under the multi-factor Health-Jarrow-Morton (HJM) model, this paper proposed new stochastic interest rate risk measures. On the basis of the two-factor and three-factor Health-Jarrow-Morton (HJM) model, the paper gave the specific examples of the stochastic interest rate risk measure model. An empirical research was designed to examine the immunization effects of the single-factor and multi-factor stochastic, the traditional and stochastic interest rate risk measure. The results show that the immunization effect of stochastic interest rate risk measure model under the multi-factor Health-Jarrow-Morton (HJM) model is obviously superior to the single factor stochastic duration. This fully testifies the superiority of the stochastic interest rate risk measure than the traditional interest rate risk measure. The new method is valuable for the interest rate risk management.