英文标题：
《Hedging Against the Interest-rate Risk by Measuring the Yield-curve
Movement》
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作者：
Zhongliang Tuo
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最新提交年份：
2013
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英文摘要：
By adopting the polynomial interpolation method, we propose an approach to hedge against the interest-rate risk of the default-free bonds by measuring the nonparallel movement of the yield-curve, such as the translation, the rotation and the twist. The empirical analysis shows that our hedging strategies are comparable to traditional duration-convexity strategy, or even better when we have more suitable hedging instruments on hand. The article shows that this strategy is flexible and robust to cope with the interest-rate risk and can help fine-tune a position as time changes.
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中文摘要：
通过采用多项式插值方法，我们提出了一种通过测量收益率曲线的非平行运动（如平移、旋转和扭曲）来对冲无违约债券利率风险的方法。实证分析表明，我们的套期保值策略与传统的久期凸性策略具有可比性，当我们手头有更合适的套期保值工具时，我们的套期保值策略甚至更好。这篇文章表明，这种策略灵活而稳健，能够应对利率风险，并有助于随着时间的变化对头寸进行微调。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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