An Analysis of Yield Curve Notes
分析了一种新型证券：收益率曲线票据，其利率与短期利率反向变动。提出了估值模型并实证估计参数，通过模拟比较其与固定利率票据的价格行为和风险特征，发现其风险约为同等期限固定利率票据的两倍，并探讨了其在金融机构免疫策略中的用途。
ABSTRACT This paper analyzes a new type of security, the yield curve note, which pays interest at a rate that varies inversely with short‐term interest rates. A valuation model for yield curve notes is presented, the parameters of the model are estimated empirically, and the estimated model is used to explore, in simulation, the price behavior and risk characteristics of yield curve notes in comparison with fixed‐rate notes. The risk of a yield curve note is approximately twice as great as a fixed‐rate note with the same maturity. The unique risk characteristics of yield curve notes make them useful (as liabilities) in immunization strategies for financial institutions. Their usefulness in this regard may be the chief rationale for their development.