基于期权调整持续期的银行资产负债组合优化模型.pdfVIP

Value Engineering No .1 1， 2∞6 价低工税2∞6 年第 11 t的 基于期权调整持续期的银行资产负债 组合优化模型 Optimization Model of Asset.….Liability Portfolio Based on the Option-Adjusted Duration 司最丹Li Dan 熄罔攘 Chi Huotaij 孙持艳 Sun Xiuyan õ (大连理工大学管理学院，大连 116024) (Sch帕1 of Management ,Dalian University of Technology ,Dalian 11ω24 ， China) 摘要:提出了基于期权调整持续期的银行资产负债隐含期权风险控制原理，结合持续期缺口的控制和法律、法规约求等控 制银行的利事风险与流动性风险。以贷款利息收益最大为目标，以线怯规划为工具，建立了-子期权调接待续朔的银行资产负 债组合优化梳理目。本文的创新与特色-Æ_提出了j底子期权调靠在持续期的银行资产负债组合优化原貌，避免了资产与负债中的 隐含糊权给银行带来提前偿付风险。二是将和j 牟结构对称!.jJ.盟和数:t结构对称原理 ~I 入资产负债组合优化中，拔制了银行级 管中的流动性风险与利...风险，保护银行股东权益的安全，保证了银行资产配给的合法性与合规性。 Abstract: This paper puts forwaro 由e 出eory of controlling embedded吨ption risk of theωset-liability management base on the optio扣acljusted duration , and combinìng duration gap and law8 and regulations control of banks interest risk and liquidity risk. lt tak创由e maximum interest rate of 108118ω 由e target and linear programmingω 阳 tool 协 set up 由e optimized 翩翩-li抽出ty portfolio model bωed on option…adjusted dur耐on. 咽1e first înnovation and characteristic of this paper is 由at it introduces the 山阴ry of controlling embedded -option risk of thc 捕set孔ability man略.ement ha盼 on the option-adjusted duration. Secondly, it introduces the interest rate 耐ucture symmeUy theory and quantity structure symmeuy 由eory to the optimization of bank嚣， assets and liabilities portfolio in order to control the liquidity and interest risk in hanks operation, pro协ct the interest of shareholders and 酬arantee the validity of hanksωsets rationing in law and regulation. 关键诩:资产负债管J.!;湖权调整持续期;利率风险;流动性风险;优化方法 Key words: asset-liability man