基于违约风险的久期模型及其在银行ALM中的应用

发布时间：2018-10-21 19:44

【摘要】：商业银行资产负债管理是一种总体风险控制与资源配置的方法，其管理目标是满足商业银行的“三性”经营原则，即流动性、安全性和盈利性。近年来，随着我国利率市场化进程的进一步深入、金融管制的放松和金融创新的加强，一方面，利率波动将会更加频繁并难以预测，商业银行的经营管理面临着更大的利率风险；另一方面，我国金融市场将会更加开放，商业银行会获得越来越充分的贷款定价自主权，金融环境也会更加错综复杂，商业银行在经营管理中所面临的信用风险也会更加突出。从上世纪九十年代开始，，越来越多的实践资料表明，利率风险和信用风险并不是孤立的，他们往往结合在一起，共同影响着商业银行的经营与管理。因此，提高商业银行信用风险和利率风险控制管理能力，优化银行资产负债的配置效益和质量，增强银行的风险抵抗能力和竞争能力至关重要。本文共分为五个部分。第一部分为引言，介绍了论文选题的背景、相关国内外研究现状、选题的理论意义与实践价值、论文的研究方法、思路和创新之处等。第二部分结合我国金融机构的短期和中期贷款定价决策行为不是仅仅依赖于借款人到期日的状态信息，而是取决于整个贷款有效期内的状态信息，包括当期信息和前期信息的实际情况建立了基于固定敲定价几何平均亚式期权的违约风险久期模型。第三部分以银行资产组合利息收入最大化为目标函数，以违约风险久期缺口和相关的法律法规及商业银行经营管理约束等为约束条件，建立了基于违约风险的久期利率免疫组合优化模型。第四部分为该组合优化模型的一个详细应用举例。第五部分为论文的结语与展望部分。
[Abstract]:The management of assets and liabilities of commercial banks is a method of overall risk control and resource allocation. Its management goal is to meet the "three characteristics" management principles of commercial banks, that is, liquidity, security and profitability. In recent years, with the further deepening of the interest rate marketization process, the relaxation of financial regulation and the strengthening of financial innovation, on the one hand, interest rate fluctuations will become more frequent and difficult to predict. On the other hand, China's financial market will be more open, commercial banks will obtain more and more full loan pricing autonomy, and the financial environment will be more complex. The credit risk faced by commercial banks in operation and management will be more prominent. Since the 1990s, more and more practical data show that interest rate risk and credit risk are not isolated, they are often combined to affect the management and management of commercial banks. Therefore, it is very important to improve the management ability of credit risk and interest rate risk control of commercial banks, optimize the allocation benefit and quality of bank assets and liabilities, and enhance the risk resistance and competition ability of banks. This paper is divided into five parts. The first part is the introduction, which introduces the background of the selected topic, the current research situation at home and abroad, the theoretical significance and practical value of the topic, the research methods, ideas and innovations of the paper. The second part combines the short-term and medium-term loan pricing decision behavior of financial institutions in China not only depends on the borrower's maturity date status information, but also depends on the state information of the whole loan period. Based on the current information and the prior information, the model of default risk duration based on fixed knock pricing geometric average Asian option is established. The third part takes the maximization of interest income of the bank portfolio as the objective function, taking the breach of default risk, the relevant laws and regulations, and the management constraints of commercial banks as the constraint conditions. Based on default risk, the immune combination optimization model of long term interest rate is established. The fourth part is a detailed application example of this combinatorial optimization model. The fifth part is the conclusion and prospect of the thesis.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3;F830.42

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