Empirical Research On Government Bonds Interest Rate Risk And Immune Model

The treasure bonds market has realized the interest rate marketization basically since the late nineties of the last century. The interest rate marketization has an great impact on the treasure bonds investment, it increases the interest rate risk caused by the stochastic fluctuation of the interest rate especially. So how to provide the treasure bonds investment from the interest rate risk is a severely practical problem.Today, there are many comparatively mature theories for the interest rate risk immunization of the treasure bonds investment, However these models will appear something inappropriate more or less when they are applied to our national treasure bonds market. So, in this paper, we introduce and analysis the duration immunization strategy, the interest rate risk immunization strategy for the bonds portfolio hedging based on the sensity/convexity, M~2 model, the interest rate risk immunization strategy based on the extended Vasicek model which are comparatively mature interest rate risk immunization model. This paper also apply these four models to the empirical research on our national the treasure bonds investment using the treasure bonds exchange data of the Shanghai Stock Exchange and combining with the actual situation of our national treasure bonds market.Finally, this paper point out the most suitable interest rate risk immunization models in the various market conditions through comparing these four models on the suitable range, calculation process , flexibility and immunization effect.