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• Main Authors: Pei Jun Hsiao, 蕭培均
• Other Authors: Hung Ren Huang
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/89105858249445397802

碩士 === 國立中央大學 === 財務金融學系 === 103 === Trading bonds will face lots of risks. The main resource of risk is the interest rate risk. Because there are different kinds of factors to affect the interest rate risk, it is not easy to estimate the future trend of interest rate, then controlling the risk we take is very important. In this research, we use Value-at-Risk as a basic tool to help us to control the possible maximum loss we will take in bond portfolio. And there are three basic ways to calculate Value-at-risk : Variance-Covariance method、Historical simulation method、and Monte Carlo method, we try to extend Monte Carlo method in this paper. In this thesis, we try to fit the Term-Structure of interest rate with Canonical-form two factor Vasicek Model, and we use Kalman Filter to estimate parameters of this interest rate Model. Then, through simulating the changing of yield rate, we can find the distribution of discounted bond price, and we can use the distribution to calculate VaR.