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| 债券利率风险分析 | |
| 引用本文： | 王敏,瞿其春. 债券利率风险分析[J]. 运筹与管理, 2002, 11(2): 92-94 |
| 作者姓名： | 王敏 瞿其春 |
| 作者单位： | 中国科技大学,商学院,安徽,合肥,230026 |
| 摘 要： | 本给出了广义久期模型，并证明了参数变化对久期影响的结论。这些分析有助于基金经理们对期限结构影响的认识，进而帮助他们进行投资组合的选择。 |
| 关 键 词： | 风险分析 债券 期限结构 久期 利率 |
| 文章编号： | 1007-3221(2002)02-0092-03 |
| 修稿时间： | 2001-12-26 |
Risk Analysis of the Interest Rate of Bond |
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| WANG Min,QU Qi-chun. Risk Analysis of the Interest Rate of Bond[J]. Operations Research and Management Science, 2002, 11(2): 92-94 | |
| Authors: | WANG Min QU Qi-chun |
| Abstract: | In this paper, we present a duration vector model,and our analysis enables managers to understand the effects of term structure. The results help managers in their portfolio selection as they respond to interest rate changes. |
| Keywords: | analysis of bond term structure duration. |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |