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4.5 利率風(fēng)險(xiǎn)管理策略的數(shù)值測試

估計(jì)框架

資產(chǎn)負(fù)債管理(ALM)技術(shù)

消極的價(jià)值策略：盈余預(yù)防

積極的價(jià)值策略：盈余保護(hù)

收益策略

閱讀材料：

4.1 CIA Educational Note "Measurement of Exposure to Interest Rate Risk," by Subcommittee on C-3 Risk, Committee on Investment Practice, June 1995

4.2 H. H. Panjer (editor) 1998. Financial Economics: With Applications to Investments, Insurance and Pensions. The Actuarial Foundation. Sections 3.1 to 3.9, and 3.11.

4.3 Ang and Sherris 1997 "Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows" North American Actuarial Journal Vol 1 No. 2, pages 1-26.

4.4 R.S. Hiller and C. Schaack, "A Classification of Structured Bond Portfolio Modeling Techniques", Journal of Portfolio Management, Fall 1990, pages 37 to 48.

4.5 M. Smink1994. "A numerical examination of asset-liability management strategies," Proceedings of 4th Actuarial Approach for Financial Risks (AFIR) International Colloquium. 8V-306-00 (Translation need to be done carefully, as there are many misprints.)

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