英文标题：
《How to hedge extrapolated yield curves》
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作者：
Andreas Lager{\\aa}s
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最新提交年份：
2014
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英文摘要：
We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of an observed yield curve and use its G\\^ateaux variation to understand the sensitivity to any possible yield curve shift. We apply the framework to analyse the Smith-Wilson method of extrapolation that is proposed by the European Insurance and Occupational Pensions Authority (EIOPA) in the coming EU legislation Solvency II, and the method recently introduced, and currently prescribed, by the Swedish Financial Supervisory Authority.
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中文摘要：
我们提出了一个框架，说明如何通过外推收益率曲线对冲贴现负债的利率敏感性。该框架基于功能分析，因为我们将外推收益率曲线视为观察收益率曲线的函数，并使用其G ateaux变化来理解对任何可能的收益率曲线变化的敏感性。我们应用该框架来分析由欧洲保险和职业养老金管理局（EIOPA）在即将到来的欧盟立法Solvency II中提出的史密斯-威尔逊外推方法，以及瑞典金融监管局最近引入并规定的方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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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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