含有违约风险的利率风险管理  

Management of interest rate risk with default risk

作　　者：王春峰[1] 杨建林[1] 蒋祥林[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《管理科学学报》2006年第2期53-60,共8页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(79870090);教育部跨世纪优秀人才基金资助项目(1999-50);教育部青年教师奖励基金资助项目(2000-21)

摘　　要：旨在解决含有违约风险的利率风险管理问题,指出了在商业银行资产负债管理中含有违约风险债券利率风险管理问题研究的必要性,获得了违约风险债券久期的一般公式,建立了含有对违约风险的控制、平均绝对离差约束、平衡表其它相关约束以及目标约束等在内的商业银行利率风险管理的目标规划模型;并在给出数值实例的基础上,讨论了违约风险的存在对银行利率风险管理的影响.To solve the problem of interest rate risk management with default risk, we point out the necessity of studying the problem of interest rate risk management for bonds with default risk within the framework of the asset and liability management for commercial banks, obtain the formula of Duration of bond with default risk and establish a goal programming model for the interest rate risk, mean-absolute deviation constraint, other related balance constraints and the goal constraint. After giving a numerical example, we discuss the impact of the existence of default risk on the interest rate risk management of banks.

关 键 词：利率风险 违约风险 久期 商业银行 

分 类 号：F830.49[经济管理—金融学]