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基于违约风险的Vasicek利率风险研究
引用本文:曾黎.基于违约风险的Vasicek利率风险研究[J].数学理论与应用,2010(1):67-70.
作者姓名:曾黎
作者单位:云南红河学院数学系;
摘    要:本文将非瞬时利率作为状态变量,通过Vasicek双因素期限结构模型得到了随机久期和凸度,并且讨论了考虑违约风险的Vasicek随机久期和凸度,使得对债券进行投资时,用Vasicek模型进行利率风险管理更加符合实际情况。

关 键 词:Vasicek模型  利率风险  违约风险  久期  凸度

The Research of Vasicek Interest Rate Risk Based on the Default Risk
Zeng Li.The Research of Vasicek Interest Rate Risk Based on the Default Risk[J].Mathematical Theory and Applications,2010(1):67-70.
Authors:Zeng Li
Institution:Department of Mathematics/a>;Honghe University/a>;Mengzi/a>;661100
Abstract:The article makes non-instantaneous interest rate as state variables,through the two-factor Vasicek term structure model got the random duration and convexity,and discussed Vasicek random duration and convexity based on the default risk,when investing in bonds,Vasicek model will be more in line with the actual situation in interest rate risk management.
Keywords:Vasicek model Interest rate risk Default risk Duration Convexity  
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