【作者】 周鸿卫；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2005， 博士

【摘要】 经济全球化导致现代商业银行经营环境发生了根本性的变化,对商业银行经营管理提出了新的要求。现代商业银行资产负债管理涉及到长期和短期目标协调、风险控制和客户关系协调、全面和全过程管理等诸多问题。将商业银行资产负债管理的诸多问题在金融工程框架内加以整合,并在该框架内提出一个整体性的解决方案,这项研究工作具有开拓性和创新性。全文围绕为什么需要金融工程对商业银行资产负债管理问题进行整体性解决、是否能解决和如何解决三个方面来展开研究,重点是研究如何解决。 在必要性的研究中,首先分析了现代商业银行经营环境的变化对商业银行经营管理的要求,认为现代商业银行资产负债管理应是全方位、全过程的协调管理。在文献综述的基础上,论述目前商业银行资产负债管理方法的局限性,从而论证金融工程对商业银行资产负债管理问题进行整体性解决的必要性。 在可行的研究中,首先对金融工程技术框架内的理论体系、方法论和策略等进行梳理。重点分析了金融工程技术与商业银行资产负债管理的关系和运用的可行性。研究表明,金融工程技术分析问题的原理和方法、创新金融工具的工艺技术和方法,以及运用金融工程技术设计的交易策略和交易手段等都可以用来解决现代商业银行资产负债管理问题。 对如何整体性解决的研究分三部分进行。首先研究为实现资产负债管理目标的商业银行资产负债行为特征,重点运用金融工程技术研究商业银行资产负债行为,通过研究发现商业银行资产负债行为是一金融工程的风险套利行为,利差就是各种风险套利的结果,商业银行资产负债管理策略可视为风险受控套利策略。这为研究商业银行资产负债行为提供了一种新的范式,也为金融工程技术解决商业银行资产负债管理问题奠定了理论基础。 接着研究在建立商业银行资产负债组合风险受控套利策略中的决策问题。研究了商业银行资产负债管理目标变量的影响因素和决策变量的选择,论证了利率敏感性缺口分析和久期缺口分析作为商业银行净利息收入和资本价值利率风险管理决策分析_T具的合理性;创新地应用风险/收益前沿的分析框架来解决复杂条件下、商业银行资产负债组合利率风险管理的决策问题,为商、为商业银行资产负债管理提供了一个“菜单”式的解决方案;最后为商业银行净利息收入和资本价值协调管理的决策提出了一系列的组合策略。 最后研究两商业银行行如何实施资产负债纰合风险受摔套利策略。小研究义分两更多还原

【Abstract】 The economic globalization has resulted in radical changes in the operation environment of modern commercial banks, which brings new requirements to the operational management of commercial banks. The assets and liabilities management in commercial banks involves various problems such as coordinative management of long-term and short-term objectives, coordinative management of risk control and customer relations, comprehensive and all process management.It will be a pioneering and innovative research if we combine the problems of assets and liabilities management in commercial banks in the framework of financial engineering, and propose an overall solution in the framework. This dissertation will discuss why financial engineering technology is required to work out an overall solution to the problems of assets and liabilities management in commercial banks, whether and how. The key research is how.In the necessity research of financial engineering, the dissertation analyses the requirements of operation and management in commercial banks because of the environmental changes in commercial bank operations. It is concluded that the assets and liabilities management in commercial banks is an overall and all process coordinative management. On the basis of literature summary, the dissertation discusses the limitations of approaches in assets and liabilities management, and proves the necessity of an overall solution to the problems in assets and liabilities management with financial engineering.In the feasibility research, the dissertation sorts out the theoretical system, methodology and strategy in the framework of financial engineering technology, makes a special analysis of the feasibility the relations between and application of financial engineering technology and assets and liabilities management in commercial banks. It is concluded that the analyzing principles and methods of financial engineering technology, the processing technology and methods of innovative financial tools and the dealing strategy and methods in financial engineering technological designing can be used to solve the problems of assets and liabilities management in modern commercial banks.An overall solution comes from the research from three respects: theoretical research, decision research and realization research. In theoretical research, the behavioral characteristic of assets and liabilities in modern commercial banks torealize objectives is studied. A key research is made on the behavior of assets and liabilities management in modern commercial banks. It is concluded that the behavior of assets and liabilities in modern commercial banks is essentially that of risk arbitrage in financial engineering. The spread is chiefly the result of various risk arbitrages. The strategy of assets and liabilities in commercial banks is actually that of controlled risk arbitrage. The conclusion provides a new sample to study he behavior of assets and liabilities management in commercial banks, and also a theoretical foundation to solve the problems in assets and liabilities management with financial engineering technology.In the research of decision problems, the dissertation studies the influential factors in the objective variables in assets and liabilities management of commercial banks and the selection of decision variables. The rationalization of interest sensitivity dollar gap analysis and duration gap analysis to be used as decision analysis tools in net interest income and capital value risk management is discussed. As an innovation, the risk/return frontier analysis framework is used to solve decision problems in combined interest risk management of assets and liabilities in commercial banks under complex circumstances, which provides a solution menu for assets and liabilities management in commercial banks, and finally a series of combined strategies for coordinated management decision of net interest revenue and capital value in commercial banks.In the research of realization, the dissertation discusses the role of customer relation in assets and liabilities management of modern commercial banks, and the shortages of structure regulation in traditional assets and liabilities. It points out that the basic idea of assets and liabilities management in modern commercial banks should center on customers, so that in the structure regulation of assets and liabilities a coordinative management of risk control and customer relation is needed. The dissertation also studies some new management ideas in structure regulation of assets and liabilities in commercial banks. The separation technology in financial engineering is used to separate interest risk and credit risk from underlying assets. For specialized management, the two risks are hedged, so that the problems in the management process of assets and liabilities in commercial banks will be well solved in the framework of financial engineering technology.The following research deals with the hedging strategy and methods of combined assets and liabilities structure regulation in commercial banks. In the hedging strategy research of combined interest risk in assets and liabilities of commercial banks, the"Smith Equation" is used to solve the problem of the selection of money/cash as linear derivatives tools. The pricing mechanism in financial derivatives tools is used to study the defensive hedging effect of financial derived tools. It is discovered that in the defensive interest risk management strategy, banks can obtain a definite spread with financial derived tools, but the spread is just a expected market spread to protect assets and liabilities combination from the effect of interest risk, not really an expected bank spread. The scenario analysis in the dissertation also proves the conclusion. A cash/money selection menu of derived tools is designed for the hedging of net interest revenue and capital value coordinative management.In the hedging research of credit risk in assets and liabilities combination, the dissertation discusses the exchange mechanism and exchange structure of operational hedging and financial hedging. After a comparison of effects on customers in separating credit risk in assets and liabilities combination various hedging approaches, it is concluded that financial hedging can both have effective control on credit risk and meet the requirements of CRM(customer relation management).After the research above, we think that the theoretical problems, the methodology problems and the strategy problems can be combined in the framework o financial engineering technology, and there will be overall and effective solutions to the problems in that framework.更多还原