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参数利率期限结构模型的多样性和计算的复杂性增加了随机久期免疫方法的使用成本,影响了随机久期免疫方法的实用性、准确性和稳定性。在单因子HJM模型的假设下提出了引入非参数方法的随机久期进行利率风险的免疫,显著降低了随机久期的模型设定误差问题对免疫结果的影响,从而改善了随机久期方法的免疫效果。通过实证结果的检验,该方法比参数方法估计的随机久期具有更好的免疫效果。
The diversity of parametric term structure models and the computational complexity increase the cost of using randomized duration immunization methods, which affects the practicability, accuracy and stability of randomized duration immunization methods. Under the assumption of the one-factor HJM model, the random duration of interest rate risk is introduced by introducing the nonparametric method, which significantly reduces the impact of model set-up error of random duration on the immune outcome and improves the randomized duration Immune effect. Empirical results through the test, the method than the parametric method to estimate the random duration has a better immune effect.