摘要
本文基于中国债券市场2003年1月—2016年6月的政府债券数据,通过研究中美政府债券期限结构、研究政府债券组合的利率风险对冲管理和组合投资策略,借鉴美国市场债券组合利率风险敞口的管理方法,结合我国政府债券组合收益率曲线的变动特征,针对商业银行从事政府债券投资操作提出优化策略及建议。
Based on Chinese bond market data from January 2003 to June 2016, this paper compared Chinese and American government bond structure and studied on government bond portfolio interest rate risk hedging management and portfolio investment strategy. By learning American bond interest rate risk exposure management methods, combined with characteristics of return rate curve of China＇ s government bond portfolio, our study finally put forward policy suggestions on how to optimize government bond investment for the commercial bank.
出处
《财政研究》
CSSCI
北大核心
2017年第3期33-42,共10页
Public Finance Research
关键词
债券投资组合
优化策略
利率曲线
Bond Portfolio
Optimization Strategy
Interest Rate Curve
