【作者】 李丹；

【导师】 迟国泰；

【作者基本信息】 大连理工大学 ， 金融学， 2006， 硕士

【摘要】 资产负债管理(Asset-Liability Management,ALM)是一种总体风险控制与资源配给方法,是把资产与负债组合视为有机整体,协调资金来源与运用的内在关系,协调流动性、安全性和盈利性,在可接受的风险下实现资产组合的最大盈利。随着中国利率市场化进程的深入,银行资产与负债中的隐含期权所导致的提前偿付风险增加。所以,对提前偿付风险的有效度量,以及建立合理有效的兼控提前偿付风险、利率风险以及流动性风险的资产负债组合优化模型,已成为目前学术界和银行业共同关注的焦点。 本文共分为四章,第一章是介绍本文建立模型的理论基础——有效持续期的计算模型;第二章是本文建立模型使用的原理——提前偿付风险控制原理、利率结构对称原理等;第三章是基于有效持续期的银行资产负债组合优化模型的建立;第四章是应用实例与对比分析。论文的主要研究成果是: (1)建立了兼控提前偿付风险与利率风险的约束条件。在银行利率风险免疫条件中引入有效持续期计算具有隐含期权特征的资产与负债的持续期,构建了兼控提前偿付风险与利率风险的约束条件。 (2)建立了基于有效持续期的银行资产负债组合优化模型。提出了提前偿付风险控制原理,运用有效持续期对银行资产负债中的提前偿付风险进行测控,并通过持续期缺口的控制和法律约束、法规约束及经营管理约束来控制银行的利率风险与流动性风险,以贷款利息收益最大为目标,以线性规划为工具,建立了基于有效持续期的银行资产负债组合优化模型。 本文的创新与特色一是通过有效持续期匹配资产与负债的利率结构,兼控了银行的提前偿付风险与利率风险。避免了资产与负债中的隐含期权给银行带来提前偿付风险,保证了银行股东的权益不受损失。二是将利率结构对称原理和数量结构对称原理引入银行资产负债组合优化中,控制了银行经营中的流动性风险与利率风险,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。更多还原

【Abstract】 ALM (Asset-Liability Management) is a kind of total risk control and the resources supply methods, and to combine the assets and liability to see as an organic whole. It also moderate the inside relation of the funds’ coming and going. ALM moderates the liquidity, safety and profit, and carries out the maximum profit under the acceptable risk.The paper is organized as follows. Section 1 introduces the knowledge that used in thepaper.-the model of effective duration, and our theory is introduced in Section 2-embedded-option risk controlling theory, interest rate structure symmetry theory and quantity structure symmetry theory. Our model is set up in Section 3. The asset allocation results are reported in Section 4.The main works of the paper are shown as follows:(1) Building a constrain condition which can both control the embedded-option risk and interest rate risk. This paper adds the effective duration in the interest rate condition to calculate the embedded-option assets and liability duration, to build the constrain condition which can both control the embedded-option risk and interest rate risk.(2) Setting up the optimization model of asset-liability portfolio base on the effective duration. This paper puts forward the theory of controlling embedded-option risk of the asset-liability management base on the effective duration, and combining duration gap and laws and regulations control of banks’ interest risk and liquidity risk. It takes the maximum interest rate of loans as the target and linear programming as the tool to set up the optimized asset-liability portfolio model based on option-adjusted duration.The first innovation and characteristic of this paper is that it puts the effective duration into the interest-rate risk controlling condition to control both the embedded-option risk and interest rate risk. Secondly, it introduces the interest rate structure symmetry theory and quantity structure symmetry theory to the optimization of banks’ assets and liabilities portfolio in order to control the liquidity and interest risk in banks’ operation, protect the interest of shareholders and guarantee the validity of banks’ assets rationing in law and regulation.更多还原