论文部分内容阅读
在利率风起云涌变化的市场条件下,公司企业以及个人应该科学的利用利率的变动来进行风险管理和资产的套期保值。利率期货的套期保值可以有效地帮助自身进行风险规避。在进行期货合约交易过程中,确定交易的最优套期保值数量以及其盈亏状况的描述是实际操作过程中的难点和重点。本文将通过介绍基于久期的套期保值策略,来帮助商业银行对商场上的利率风险进行套期保值,使自己面临的利率风险将为最小。本文介绍了久期的概念以及如何利用久期工具进行套期保值,并且用例子来说明自己的结论并对结论进行验证。
Under the volatile market conditions of interest rates, companies and individuals should make scientific use of the changes in interest rates for risk management and asset hedging. The hedging of interest rate futures can effectively help itself to avoid risks. During the process of futures contract trading, the description of the optimal hedging quantity and the profit and loss status of the transaction is the difficulty and emphasis in the actual operation. This article will help commercial banks to hedge the interest rate risk in the mall by introducing the duration-based hedging strategy so that they will face the lowest interest rate risk. This article describes the concept of duration and how to hedge using hedging tools, and uses examples to illustrate our conclusions and validate the conclusions.