摘要
2012年2月13日中国金融期货交易所的国债期货仿真交易启动,标志着国内重启利率期货已经迈出实质性步伐.利率期货是一种以国债为标的物的金融衍生产品,它的推出将给债券投资者提供更有力的对冲利率风险的工具.以加权ES模型研究利率期货的风险度量和保证金制度.
China financial futures exchange started treasury bonds futures simulation trad- ing In February 13, 2012. It marked domestic restart Treasury bond futures to step ma- teriality pace. Treasury bond futures is a bond for the subject of the financial derivative products, it will give bond investors to provide more effective hedging interest rate risk tool. This paper based on the weighted ES model to Study Treasury bond futures market risk measurement
出处
《数学的实践与认识》
CSCD
北大核心
2013年第21期30-34,共5页
Mathematics in Practice and Theory
关键词
利率期货
加权ES模型
仿真交易
结算风险
interest futures
weighting ES model
emulation trade
settlement risks
