固定收入债券利率风险管理中的持续期度量方法

首先指出对有固定收入的债券进行投资也存在着风险，其中主要为利率风险，而持续期以及以其为基础建立的持续期分析则是进行利率风险管理的重要方法．然后在对传统的利率持续期模型进行评介的基础上，进一步分析了学者们对传统持续期模型的发展，详细介绍了包含债券收益率曲线非平行移动的持续期模型和在不同利率期限结构假设下所推导的持续期模型．

The Duration Approach in the Interest Rate Risk Management

This paper first pointed out that the investment to the fixed-income securities such as bond still has risk exposure which is mainly the interest rate risk .The duration models and their corresponding analysis approaches play an very important role in the interest rate risk management. Then, we introduced the traditional duration models and discussed some extended duration models, which include the non-parallel movement of yield curve and the duration models under various term structure such as Vasicek, CIR, HJM and Moreno model, etc. Finally it was suggested that we should do more econometric analysis of the interest rate risk management and the relevant operational tools so as to meet the development of the management of the interest rate risk in theory and practice.