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The Research of Estimation and Application on Term Structure of Interest Rate

Author: XieShuZuo
Tutor: XuQiang
School: Nanjing University of Aeronautics and Astronautics
Course: Finance
Keywords: National debt Term Structure of Interest Rates Riding strategy VAR Principal Component Analysis
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 86
Quote: 0
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Abstract


The bond market is the basis of the bond market and an important part of the way of changes in the term structure of the national debt and influencing factors of China's bond market , or even the entire financial market has a very important research value and practical significance . The term structure of interest rates has important practical value in the bond portfolio and risk management applications , put forward valuable suggestions for the development of China 's bond market . Based on the research background , based on the interest rate term structure theory , the Treasury yield curve fitting in China , first expounded the important theoretical value and practical significance for the study of Chinese government bonds yield curve , the system at home and abroad in government bond yields and rate curve of the theoretical results of the research . And the use of the more mature the Nelson-Siegel empirical fitting parameter model of the term structure in China . Next principal component analysis of the yield curve fitting parameter model to study the changes in the Treasury yield curve mode characteristics , the study results show that the changes in China 's interest rate term structure factors in addition to the level of factors tilt factors , the curvature factors market factors, and this phenomenon is to be analyzed and interpreted . Chapter IV of this paper , the theory in the second chapter of the Price Law and riding a combination of empirical results show that riding strategy with the theoretical price constructed portfolio hedging effect riding strategy is superior to direct buy into the hold method , also come to dumbbell strategy is suitable for China's bond market the better strategy . Then the use of principal component analysis to identify the impact of interest rate changes in the term structure of four factors , to explore the Chinese government bond market portfolio risk management issues , empirical process , based on the the VaR constraints mean - variance model for risk management proposed a riding strategy of portfolio optimization of management methods . Finally , the article summarizes the research findings , raised rich bond types , and improve the system of legal constraints , promote financial product innovation and enhance investor education with which the corresponding policy recommendations .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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