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1、CHAPTERFORTY-TWOHEDGINGINTEREST-RATERISKWITHTERM-STRUCTUREFACTORMODELSLIONELMARTELLINI,PH.D.ProfessorofFinanceEDHECGraduateSchoolofBusinessScientificDirectorofEDHECRiskandAssetManagementResearchCenterPHILIPPEPRIAULET,PH.D.FixedIncomeStrategist,HSBC-CCFAssociateProfessorMa
2、thematicsDepartmentUniversityofEvryVald’EssonneFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversityPortfoliomanagersseektocontrolorhedgethechangeinthevalueofabondpositionorabondportfoliotochangesinriskfactors.Therelevantrisk
3、factorscanbeclassifiedintotwotypes:term-structureriskfactorsandnon-term-structureriskfactors.Theformerrisksincludeparallelandnonparallelshiftsinthetermstructure.Non-term-structureriskincludessectorrisk,qualityrisk,andoptionalityrisk.Multifactorriskmodelsthatfocusonlyonhed
4、gingexposuretointerest-raterisksarereferredtoastheterm-structurefactormodel.Exposuretochangesininterestratesismostoftenmeasuredintermsofabondorportfolio’sduration.Thisisaone-dimensionalmeasureofthebond’ssensitivitytointerest-ratemovements.Thereisonecomplication,however:t
5、hevalueofabond,orabondportfolio,isaffectedbychangesininterestratesofallpossiblematurities(i.e.,changesinthetermstructureofinterestrates).Inotherwords,thereismorethanoneriskfactorthataffectsbondreturns,andsimplemethodsbasedonaone-dimensionalmeasureofrisksuchasdurationwill
6、not967Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.968PART5ValuationandAnalysisallowportfoliomanagerstomanageinterest-raterisksproperly.1Hencetheneedforterm-structurefactormodels.Inthischapterweshowhowterm-structurefact
7、ormodelscanbeusedininterest-rateriskmanagement.Thesemodelshavebeendesignedtobetteraccountforthecomplexnatureofinterest-raterisk.Becauseitisnevereasytohedgetheriskassociatedwithtoomanysourcesofinterest-rateuncertainty,itisalwaysdesirabletotrytoreducethenumberofterm-struct
8、ureriskfactorsandidentifyalimitednumberofcommonfactors.Thereareseveralwaysinwhichthiscanbedone,anditisi
