基于非线性区间数风险控制的资产负债优化模型

发布时间：2018-11-10 19:56

【摘要】：现有研究把存、贷款利率视为常数,无法使资产配置的优化结果适应未来市场利率的变化。本文的资产负债管理优化模型通过资产与负债的区间数的持续期缺口建立了区间型利率风险免疫条件,使资产的最优配置在资产与负债的收益率变化时仍能免疫利率风险。研究表明本文引入的持效期缺口区间的偏向选择参数γ决定预留缺口是赚钱还是亏钱。γ取值0.5时缺口区间两端点的绝对值最小;γ越大于0.5时,正缺口越大,在利率下降时就越赚钱。γ越小于0.5时,负缺口越大,在利率上升时就越赚钱。而区间长度选择参数γ决定损益的大小;揭示了在积极的利率风险管理策略中,选择较小的λ会获得较多的风险收益。另一方面,本文通过相关系数组合半绝对离差建立了非线性区间型组合风险的函数表达式,改变了现有研究线性区间型算法将各笔贷款风险进行简单线性加权、进而夸大了组合信用风险的弊端。
[Abstract]:The existing research regards the interest rate of deposit and loan as a constant and can not adapt the optimization result of asset allocation to the change of market interest rate in the future. In this paper, the optimal model of asset and liability management establishes the interval interest rate risk immunity condition through the gap of the interval number of assets and liabilities, so that the optimal allocation of assets can still be immune to interest rate risk when the return rate of assets and liabilities changes. The results show that the bias selection parameter 纬 of the gap interval introduced in this paper determines whether the gap is for profit or loss, and the absolute value of the two ends of the gap interval is the smallest when 纬 is taken as 0.5; The bigger the positive gap is, the more profitable the positive gap is when 纬 is lower than 0.5. The bigger the negative gap is when 纬 is less than 0.5, the more profitable it is when the interest rate rises. The interval length choice parameter 纬 determines the profit and loss, which reveals that in the active interest rate risk management strategy, the smaller 位 can obtain more risk returns. On the other hand, this paper establishes the function expression of nonlinear interval-type portfolio risk through the semi-absolute deviation of correlation coefficient combination, which changes the existing linear interval algorithm to carry out simple linear weighting of each loan risk. Furthermore, it exaggerates the disadvantages of combination credit risk.
【作者单位】：大连理工大学工商管理学院;大连理工大学数学科学学院;
【基金】：国家自然科学基金资助项目(71171031,70471055,79770011) 教育部科学技术研究项目大连银行小企业信用风险评级系统与贷款定价项目(2012-01) 中国邮政储蓄银行总行小额贷款信用风险评价与贷款定价资助项目(2009-07)
【分类号】：F830.5;F224

【相似文献】