Study on the Immunization of Interest Rate Risk of the Investment in Government Bond with the Short Selling Mechanism--Based on the Nelson-Siegel Model
There exists negative cash flow in bond portfolio in the condition of short selling,thus the original duration condition immune to interest rate risk cannot completely immunize the rate risk of the portfolio.Therefore,based on the Nelson-Siegel model,we firstly established a risk immune principle for parallel or non-parallel shift of the term structure of interest rate; Secondly,we got two conditions for government bond portfolio to completely immuneize the interest rate risk; Finally,by studying a example of government bond investment portfolio under the short selling condition,proved that the parameter duration condition only cannot protect portfolio against the interest rate risk,and then we put forward a basic principle of selecting government bonds for investors.
Nelson-Siegel model interest rate risk parameter duration parameter convexity short selling
YANG Wan-qian CHENG Li-wei
School of Economics,Dalian University of Technolog,Dalian,China,116024
国际会议
大连
英文
597-602
2013-06-29（万方平台首次上网日期，不代表论文的发表时间）