我国自1981年恢复发行国债以来,债券市场已初具雏形,国债市场的规模也日益扩大,随着利率市场化进程的不断推进,利率的波动也会更加频繁,固定收益投资中的利率风险管理显得尤其重要,本文从西方经典的久期管理理论入手,并选取国内的国债品种做出利率敏感性分析,构建国债品种的组合,用实证分析法检验组合的久期对组合收益率的贡献度。 Since China resumed its issuance of treasury bonds in 1981, the bond market has taken shape and the size of the treasury bond market has also been expanding. As interest rate liberalization progresses, interest rate volatility will become more frequent. Interest rate risk management in fixed income investments It is particularly important. This article starts from the western classical theory of long-term management, selects the domestic bond market to make the interest rate sensitivity analysis, constructs the bond portfolio, and uses the positive analysis method to test the contribution of the portfolio duration to portfolio yield .