Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/70846
標題: Structure of Spot Rates and Duration Hedging
作者: Lin, B.H.
林丙輝
Wang, J.Y.
Tai, S.W.
關鍵字: Risk management
Spot rates
Duration
Immunization
Term structure of
interest rates
term structure models
vector
期刊/報告no:: Asia-Pacific Journal of Financial Studies, Volume 40, Issue 4, Page(s) 550-576.
摘要: The present study proposes a three-factor model using spot rates as proxies for the state variables of the term structure of interest rates. Empirical analysis is carried out on the in-sample explanatory power and the out-of-sample prediction ability of spot-rate models, and comparison is made between the modified Macaulay duration and spot-rate duration hedging for bond portfolios. The results not only show that the optimal three-spot-rate model outperforms the optimal two-spot-rate model proposed by Elton et al. (Journal of Finance, 45, 1990, 629-642) with respect to explanation ability of unexpected changes in the term structure of interest rates, but also illustrate the importance of capturing the curvature characteristic of the term structure of interest rates for spot-rate duration hedging methods. Moreover, the impressive performance of three-spot-rate duration hedging implies that it is feasible to reduce the dimensions of state variables to three for the purposes of risk exposure prediction and risk management of bond portfolios.
URI: http://hdl.handle.net/11455/70846
ISSN: 2041-9945
文章連結: http://dx.doi.org/10.1111/j.2041-6156.2011.01049.x
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