The Study Of Interest-rate Risk Management On China's Bonds Financial Derivatives

Economic globalization and China's entering of WTO make it necessary to be consistent with the international standards of economic and financial system. In recent years, the rate market was gradually opened. By the end of 2006, the rate should be decided by the market, which will bring rate risk and bring huge risk to bond assets. Bond derivative, which can decentralize and avoid risk, is often used to control rate risk in developed countries, but seldom used in China. To control rate risk effectively, the author tries to do some research on using derivative instruments to manage rate risk in the condition of market decided rate.This article research on the application of repurchased bond and bond futures, the main bond derivative ever existed in China and terminated in 1995, in the rate risk management. And it points out that it is necessary and feasible to resume bond futures exchange in China. There are five chapters in this article. First of all, it tells the background and value of the research and gives a summary of relative theories in China and in other countries. Then, it presents the concept of rate risk and introduces two instruments, duration and convexity, used to identify and measure rate risk. It makes a case analysis of forecasting the rate of change of bond price with the instruments. Thirdly, it analyzes the management strategy of rate risk on the bond market and imitates the yield curve of the bond. Referring to the forecast, it makes a case analysis on bond investigation with the strategy of duration and convexity. Fourthly, it analyzes the function, feature and situation of bond repurchase and the repurchase rate on the bond market of banks and SSE. In Chapter5, it analyzes the function and feature of bond futures and develops the strategy...