Interest rate risk measure model under the multi-factor HJM framework

LI Jing-jing, YANG Bao-chen, SU Yun-peng

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (11) : 2783-2790.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (11) : 2783-2790. DOI: 10.12011/1000-6788(2014)11-2783

Interest rate risk measure model under the multi-factor HJM framework

  • LI Jing-jing, YANG Bao-chen, SU Yun-peng
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Abstract

Under the multi-factor Health-Jarrow-Morton (HJM) model, this paper proposed new stochastic interest rate risk measures. On the basis of the two-factor and three-factor Health-Jarrow-Morton (HJM) model, the paper gave the specific examples of the stochastic interest rate risk measure model. An empirical research was designed to examine the immunization effects of the single-factor and multi-factor stochastic, the traditional and stochastic interest rate risk measure. The results show that the immunization effect of stochastic interest rate risk measure model under the multi-factor Health-Jarrow-Morton (HJM) model is obviously superior to the single factor stochastic duration. This fully testifies the superiority of the stochastic interest rate risk measure than the traditional interest rate risk measure. The new method is valuable for the interest rate risk management.

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interest rate risk / multi-factor / stochastic interest rate risk measure / Health-Jarrow-Morton (HJM) model

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LI Jing-jing , YANG Bao-chen , SU Yun-peng. Interest rate risk measure model under the multi-factor HJM framework. Systems Engineering - Theory & Practice, 2014, 34(11): 2783-2790 https://doi.org/10.12011/1000-6788(2014)11-2783

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