摘要
用主成分分析法对影响中国企业债券收益率的风险因素进行研究,分析出影响收益率变动的主要因素及每个因素对债券收益率的影响程度。根据影响债券收益的多个风险因素,提出基于债券风险因素分析的持续期计算方法,并通过仿真计算验证了在收益率波动的情况下用该持续期计算方法规避风险的可行性。
This paper analyses the risk factor which influences the yield of corporate bonds in our country with principal component analysis and then finds the main factors which influence the yield and the variance of each factor. We develop a duration approach based on the analysis and use emulator to prove the feasibility of the approach when the yield curve shifts.
出处
《大连海事大学学报（社会科学版）》
2006年第3期56-59,共4页
Journal of Dalian Maritime University(Social Science Edition)
