基于协方差调整的久期——凸度免疫策略分析

众所周知,简单久期—凸度免疫策略中隐含两个假设:水平收益率曲线及其平行变动。针对这两个假设与实际情况不符的问题,本文借鉴Carcano和Foresi(1997)的思想,建立了一个基于协方差调整的一般久期—凸度免疫模型,并用两资产对冲组合和三资产对冲组合进行了具体分析。进一步,我们采用上海证券交易所上市的国债交易数据对一般模型的免疫效果进行了检验,结果显示基于协方差调整的久期—凸度免疫策略比简单久期—凸度免疫策略具有相对较强的免疫能力。

Analysis of Covariance-Adjusted Duration-Convexity Immunization Strategy

It is well known that there are two hypotheses in the simple immunization strategies based on duration and convexity:flat yield curve and paralleled shift.Aiming at the question that the hypotheses are inconsistent with the actual situation in practice,this paper provides a general model of covariance-adjusted duration-convexity immunization by using the idea from Carcano and Foresi(1997) for reference,and analyses the model in the case of hedging portfolios of two assets and three assets.Furthermore,we have tested for the immunity of the general model by employing market data of treasury bonds listed on Shanghai Stock Exchange.The empirical evidences show that the covariance-adjusted duration-convexity immunization approaches outperform the simple duration-convexity techniques.