上交所国债利率期限结构的风险值计算

利用主成分分析方法计算与中国上海证券交易所债券市场利率期限结构相关的投资组合的风险值.检验了我国债券市场利率期限结构协整的存在情况,发现我国利率期限结构与许多国外市场一样存在3个协整;然后,对影响收益率的因素进行了敏感性分析;最后,将主成分分析与情景分析方法相结合,计算了我国利率期限结构的风险值,发现只要利用主成分分析的3个因素,便可解释大部分样本期限收益率曲线的整体风险变动情况.

Calculation of the Value at Risk of the Term Structure of Bond Interest Rates in Shanghai Securities Exchange

Principal components analysis was used to calculate the VaR of portfolios related with the term structure of interest rates in Shanghai Securities Exchange(SSE).Prior to assessing the VaR,it investigated whether cointegration exists in the term structure of interest rates in China.Then it tries to find out the number of cointegration.The empirical results show that there are three common trends existing in the yield curve of SSE.However,the first principal component seems different from the level factor of the yield curve usually found in foreign studies.Finally,a simulation was implemented by using the scenario method adopted by Frye,and the results show that the majority of variations reflected in the whole yield curve of SSE can be explained by the three principal components derived.