A Study On Interest Risk Of China's Medium And Long Term Treasury Bond

The medium and long term treasury bond which all investors like is the main constituent of our country entire treasury bond market. Along with the interest rate liberalization unceasingly thorough, the interest rate of the country undulates more frequently, the interest rate risk of the medium and long term treasury bond investment is more prominent. According to the medium and long term treasury bond market of our country, the institutional investors concerns all the time how to design a set of calculating and controlling the interest rate risk, which can easily understands and grasps.This paper mainly researches the present situation of the medium and long term treasury bond market and the measures for the institutional investors to evade the interest rate risk. This paper first reviews the relevant theories and methods, which draws out the treasury bond price undulation theory.Then, under the background of the commercial bank's saving interest rate rises 27 points, demonstrates the undulation of the medium and long term treasury bond practical and theoretic price. Through Comparison and analysis, we can get that under the same condition of interest rate undulation, the practical price of the medium and long term treasury bond is far different from the theoretic price. On the basis of above ,this paper researches that institutional investors should use which measures to evade the interest rate risk at present market, then demonstrates that institutional investors should choose investment portfolio strategy to evade interest rate risk , and concludes that the bullet strategy investment portfolio is better than the barbell strategy investment portfolio on evading interest rate risk. Along with the interest rate liberalization unceasingly thorough, the two will get more and more coherent.At last, this paper gives some suggestions about the necessary conditions of internationalization of our country's medium and long term treasury bond market, and under that condition our country's institutional investors should how to use treasury bond derivatives to evade the interest rate risk.