CAJ | 학술논문

固定收益证券存在单券投资和组合持仓规模较大的特殊性,势必面临着一定的市场风险、信用风险和流动性风险。本文通过实践方面的探索和尝试,改变了原有仅用收益率曲线平移的敏感性分析和压力测试方法,提出了利用基于违约强度的模型结合Vasicek利率模型的方法,以中债估值数据为例,对我国固定收益证券组合的市场（利率）风险和信用风险的敏感性分析和压力测试进行了检验。研究发现,在精确校准估值模型的前提下,均衡长期利率水平和均衡长期违约率越高,债券价格越低,均值回复速度越大和波动率越小,债券价格越低。
고정수익증권존재단권투자화조합지창규모교대적특수성,세필면림착일정적시장풍험、신용풍험화류동성풍험。본문통과실천방면적탐색화상시,개변료원유부용수익솔곡선평이적민감성분석화압력측시방법,제출료이용기우위약강도적모형결합Vasicek리솔모형적방법,이중채고치수거위례,대아국고정수익증권조합적시장（리솔）풍험화신용풍험적민감성분석화압력측시진행료검험。연구발현,재정학교준고치모형적전제하,균형장기리솔수평화균형장기위약솔월고,채권개격월저,균치회복속도월대화파동솔월소,채권개격월저。
Fixed income securities have huge investment in single bond or portfolio, and are doomed to facecer tain market risk, credit risk and liquidity risk. On the basis of practice, the article adopts a new method, which is based on stochastic default intensity and Vasieek interest rate model, to conduct sensitivity analysis and stress test, instead of using the traditional method, which is parallel shift of yield curve. We use data of Chinabond prices to check out the sensitivity analysis and stress test of the market risk and credit risk of China＇s fixed income securities portfolios. With the accurately calibrated model, the result is that the higher the long term equilibrium interest rate and default rate are, the lower the bond price is; the lower the mean reversion rate and volatility rate is, the lower the bond price is.