基于凸度缺口模型的商业银行利率风险最优控制及其应用  

The Optimal Control and its Application of Interest Rate Risk in Commercial Banks Based on Convexity Gap Model

作　　者：杜金岷[1] 刘湘云[2] 

机构地区：[1]暨南大学经济学院金融系,金融研究所,广东广州510632 [2]广东商学院金融学院,广东广州510320

出　　处：《暨南学报（哲学社会科学版）》2007年第2期36-40,共5页Jinan Journal(Philosophy and Social Sciences)

基　　金：国家自然科学基金项目<商业银行利率风险综合计量模型及管理模式研究>(批准号:70473032);广东省自然科学基金项目<我国商业银行利率风险计量模型与管理模式研究>(批准号:31910)

摘　　要：对商业银行利率风险的管理和控制,传统的久期模型仅适用于利率变化较小和利率期限结构平移条件下的线性近似估计,否则就需要运用凸度进行调整。根据Markowitz现代组合投资理论,构造一个目标规划模型,通过合理确定其中决策变量的值,使商业银行在决策期末满足最小化利率风险和银行资产负债组合的凸度为非负的条件下收益最大化。计算实例表明,凸度缺口模型对于给定的初始值和约束条件,可以较好地减少利率风险的暴露头寸和提高收益;同时,利率风险较大时凸度缺口模型比久期缺口模型更好地减少风险暴露,鲁棒性(robustness)更强。Traditional duration model is only suitable for linear approximation assessment under the small change in interest rate and parallel shift of interest rate term structure, otherwise, it needs to be adjusted by employing convexity. This paper constructs a target mapping model based upon Markowitz’ modern investment portfolios theory, which makes commercial banks at the end term of decision satisfy minimized interest rate risk and maximized yields when the convexity of bank asset/liability portfolio is non-negative, after reasonably determining the value of decision variables. Calculation case shows that in the given initial value and restraints, convexity gap model can lessen the exposure position of interest rate risk and increase yields. Meanwhile, when facing higher interest rate risk, convexity gap model can mitigate risk exposure than duration gap model, and then it is more robust.

关 键 词：凸度缺口 久期缺口 商业银行利率风险 

分 类 号：F830[经济管理—金融学]