Hits:

Indexed by:会议论文

Date of Publication:2013-01-01

Included Journals:CPCI-SSH

Page Number:597-602

Key Words:Nelson-Siegel model; interest rate risk; parameter duration; parameter convexity; short selling

Abstract:There exists negative cash flow in bond portfolio in the condition of short selling, thus the original duration condition immune to interest rate risk cannot completely immunize the rate risk of the portfolio. Therefore, based on the Nelson-Siegel model, we firstly established a risk immune principle for parallel or non-parallel shift of the term structure of interest rate; Secondly, we got two conditions for government bond portfolio to completely immuneize the interest rate risk; Finally, by studying a example of government bond investment portfolio under the short selling condition, proved that the parameter duration condition only cannot protect portfolio against the interest rate risk, and then we put forward a basic principle of selecting government bonds for investors.