A New Stochastic Duration Based on the Vasicek and CIR Term Structure Theories
提出一种基于Vasicek和CIR模型的新随机久期，使用更长期限的零息收益率替代瞬时利率作为风险源代理，证明新久期随债券期限增加而变大，并用比利时数据验证其在债券免疫中优于原随机久期，有时甚至优于麦考利久期。
The stochastic duration based on the Vasicek and CIR models is theoretically superior to Macaulay’s duration. However, empirical tests on bond immunization performance have so far failed to show its superiority. Within the one‐factor framework, this paper proposes to use a longer zero‐curve yield instead of the original instantaneous interest rate as a proxy for the relevant risk source(s). We prove that the new duration becomes larger, increasing with bond maturity, than the original duration. Bond immunization using Belgian data shows that the new duration definitely beats the original duration and can in some cases outperform Macaulay’s duration.