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本文在研究久期测度理论的基础上,归纳了国外通行的住房抵押贷款支持证券的久期测度方法。结合我国当前金融市场现状,对通行的久期测度方法进行了修正,为我国机构投资者选择适当的住房抵押贷款支持证券的久期测度方法提出了建议。
Based on the study of duration measurement theory, this paper summarizes the long-term measurement methods of mortgage backed securities abroad. Combined with the current financial market in our country, the method of measuring the duration of the passage is amended so as to provide some suggestions for Chinese institutional investors to choose the appropriate measure of the duration of the mortgage-backed securities.