CAJ | 학술논문

针对传统的Nelson—Siegel部分久期配比免疫模型在实际应用中存在的问题，本文在对我国国债收益率曲线变动特征研究的基础上，改进了Nelson—Siegel部分久期配比免疫模型，提出了基于利率预测信息进行动态调整的利率风险管理策略。本文的经验分析结果显示，与传统的Nelson—Siegel部分久期配比免疫模型相比，改进的Nelson—Siegel部分久期配比免疫模型具有更好的免疫效果。
침대전통적Nelson—Siegel부분구기배비면역모형재실제응용중존재적문제，본문재대아국국채수익솔곡선변동특정연구적기출상，개진료Nelson—Siegel부분구기배비면역모형，제출료기우리솔예측신식진행동태조정적리솔풍험관리책략。본문적경험분석결과현시，여전통적Nelson—Siegel부분구기배비면역모형상비，개진적Nelson—Siegel부분구기배비면역모형구유경호적면역효과。
There are some problems to reduce the immunization efficiency of the traditional Nelson- Siegel duration - matching model. Based on the empirical evidence from dynamic characteristics of China＇s term structure of interest rate, this paper improves and set up a new multi - step immunizing method under the support of money- growth - rate based interest rate forecast. Our empirical evidence show that the improved Nelson - Siegel duration - matching immunization model performs better than the traditional Nelson-Siegel duration-matching immunization model.