Risk Management of Bond Portfolio Based on Interest Rates Term Structure Forecasting
改进了动态Nelson-Siegel模型，通过差分序列建模提升利率期限结构预测精度，并基于此提出包含预测信息的债券组合利率风险管理模型，对中长期债券对冲效果更优。
Interest rates term structure forecasting is crucial for bonds portfolio risk management.In this paper, dynamic Nelson - Siegel - style models are modified by modeling the differentiated series instead of original parameter series.The empirical study shows that the new models forecast interest rates term structure better significantly. Based on that,a new model of managing interest rates risk of bond portfolio with interest rates terra structure forecasting information included is proposed,which also proved to be better in hedging interest rates risk of mid - term or long - term bonds.