CAJ | 학술논문

通过分析比较债券的麦考利久期和修正久期在概念和计算方法上的差异，指出修正久期才是债券和债券组合风险管理的核心工具，当利率变化幅度较大的情况下，债券的凸性应该被纳入以改善修正久期的业绩。由于附息债券或债券组合均可被分解为一系列零息债券的组合，根据“组合收益率是组合中各成份证券收益率的加权平均”的基本原理，给出了一种基于零息债券修正久期和凸性的附息债券以及债券组合修正久期和凸性的计算方法，并通过实例阐述了债券修正久期和凸性的计算及应用。
통과분석비교채권적맥고리구기화수정구기재개념화계산방법상적차이，지출수정구기재시채권화채권조합풍험관리적핵심공구，당리솔변화폭도교대적정황하，채권적철성응해피납입이개선수정구기적업적。유우부식채권혹채권조합균가피분해위일계렬령식채권적조합，근거“조합수익솔시조합중각성빈증권수익솔적가권평균”적기본원리，급출료일충기우령식채권수정구기화철성적부식채권이급채권조합수정구기화철성적계산방법，병통과실례천술료채권수정구기화철성적계산급응용。
By analyzing and comparing the difference on concept and calculation between macaulay duration and modified duration of bond, this paper points out that it is modified duration that plays an important role in bond or bond portfolio risk management, for large yield changes convexity should be added to improve the performance of the modified duration. Because coupon bond or bond portfolio can be decomposed into a series of zero-coupon bond, we propose a methodology to calculate the modified duration and convexity of coupon bond or bond portfolio based on the principle of that portfolio return is the weighted average return of various components in that portfolio. An example is also involved for illustration of calculating process of modified duration and convexity and their application.