利率衍生产品的套期保值研究

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1、分类号(中图法)F123Y8乓3335UCD(DDC)§58密级—五论文作者姓名黄篷钮学弓旦2Q照125单位江渔厶堂论文中文题名型圣堑生亡晶的套翅握值婴宜论文中文副题名玉论文买文题名B笪￡ar吐Q￡!n!￡!￡§iR丛￡旦￡d!a鱼Y￡H趔ging论文英文副题名玉论文语种逯语论文摘要语种逯．。墓论文页数j堕论文字数』生(万)论文主题词型奎堑生晶、套翅盟值、凸廑值整、欧洲羞丞直扬：申请学位级另U擅±专业名称煎苤经透丛筐翌研究方向金融王程指导教师姓名迕长堑熬援导师单位塑泣太堂直堂瞳论文答辩日期2Q竖生3旦!§旦利率衍生产品的套期保值研究Abstract

2、Thevolumeoftradeintheinterestratederivativemarketincreasesrapidlyandhasaccountedformorethan70percentoftheOTCfinancialderivativetrading．ThedevelopmentstatusofthefinancialderivativemarketinourcountryfailsfarbehindthatindevelopedcountriesBygradualreformoftheinterestratemarketizat

3、ionandtheperfectionofthegovemmentbondmarket，theconditionsfordevelopingtheinterestratederivativeinourcountryhavebecomesufficient．Financialinstitutionsdemandstronglytheinterestrateriskmanagementtoolsandourcountrynowhastheabilitytoproposetheinterestratederivatives．Inthedissertati

4、onthehedgingtheoryisanalyzed，theconnnonduration—basedhedgingstrategyiscommentedonandthustheconceptionofconvexitybiasisintroduced．Byconstructingahedgedportfolioofarlinterestrateforwardcontractandashort-terrainterestratefumrescontract，thehedgingstrategybasedontheeonvexitybiasadj

5、ustmentisderivedandimproved．Itisproposedthatthechangesintheportfoliovalueconsistoffourparts，whicharechangesinthefuturesrate，changesintheunitdiscountbondprice，co-movementsbetweenthefuturesrateandthebondpriceandchangesinthecovarianceterm．Byfurtherderivation，itisproposedthattheco

6、nvexitybiasiscomposedofthecovariancetermeffect，thematurityeffectandtheyieldcurveeffect，whilethetraditionalconvexitybiasmodelonlycontainstheeonvexitybias．Themodifiedmodelisappliedtotheconvexitybiasadjustmentofthehedgedportfoliooftheinterestrateforwardeontractandtheshort-termint

7、erestratefuturescontractandtheperfecthedgeratioisobtained．Oncetheconvexitybiasadjustmentiscompleted，thehedgedportfoliogenerateszeroexcessreturn．Sincethetheoreticmodelismadeundertherisk—freemarketassumptionwhilethepositivedatacomefromEurodollarmarket，itisnecessarytomodifythepro

8、cessoftheforwardLIBORinterestrateintheEurodollarmarkettomaket