The Measurement Of Key Interest Rate Term Structure Of Interest Rate Risk

Interest rate volatility is the severe challenge that today all sorts of financial institutions in the world are faced with, if financial institutions and other participants cannot effectively use various means to manage interest rate risk, interest rate changes will lead to the transfer of wealth and redistribution. The effective method to manage interest rate risk is using the duration model, but the duration of the traditional models can only explain about seventy percent of the default-free bond interest rate risk, for the desired accuracy, interest rate risk management is not enough. Therefore, in recent years, many new duration model has appeared, and including the key rate duration model that discussed in detail in this paper.All kinds of duration model and the evaluation of the effect is closely connected with the term structure of interest rates. The interest rate risk model can often be established on the basis of the different term structure of interest rates and the theoretical research.At the same time, the applicable scope and effect of all kinds of interest rate risk model with the characteristics of the term structure of interest rates is closely related to the changes of the rate. Therefore, this paper analyzes the interest rate term structure theory and structural approach of the term structure of interest rates in real life.Interest rate risk model and the reality are closely linked, the final discussion of the model is mend to be applied to real life. Therefore, design of the paper fully takes account for this. Firstly, from the analysis of the bond market trading began, according to the specific circumstances to establish the term structure; secondly, combined with the interest rate term structure and key rate durations; Finally, the key rate durations are applied to the calculation of the VaR and the CVaR.Text is divided into five parts:The first part is mainly to review the interest rate risk model theory and literature at home and abroad, highlight close relationship between the term structure of interest rates and interest rate risk model, analyze the situation of our present study and explain dissertation research.The second part discusses the theory of the term structure of interest rates and in real life exactly how the term structure constructed.The third part of the interest rate risk model is the focus of this paper. In this part,this paper analysis the several conventional duration model, and the key rate duration model that compared with the traditional duration model has obvious advantages.The fourth part are empirical analysis:firstly, it uses cubic spline function to get the interest rate term structure, secondly this paper uses ten kinds of bonds constitute three kinds,and calculates their key interest rates duration, imulates the change in key interest rates to obey Weibull distribution; finally calculates the VaR and the CVaR.The fifth part is the conclusion and outlook.