商业银行隐含期权的利率风险管理研究  

The Study of Interest Risk Management of Embedded Option of Commercial Bank

作　　者：易传和[1] 刘炼[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《财经理论与实践》2007年第4期19-23,共5页The Theory and Practice of Finance and Economics

摘　　要：随着利率市场化改革的深入,隐含期权将成为我国商业银行普遍存在的利率风险问题,对这些隐含期权利率风险的忽略有可能给银行造成重大损失。基于期权调整的有效持续期和凸度是衡量银行隐含期权利率风险的主要技术指标。对于隐含期权的利率风险应从契约上加以防范,并可运用证券化技术转移、建立基于期权调整利差模型的利率定价机制、科学匹配有效持续期和引入利率衍生工具等途径进行全面控制。Follow the improvement of interest market reformation, embedded option is becoming the ubiquitous interest risk problem of commercial banks of China,and the banks will get great lost if they overlook the interest risk of embedded option. The option adjust effective duration and convexity are main measuring indexes of interest risk of embedded option of commercial bank. The general control of interest risk of embedded option should prevent from contract first,and transfer risk by securities technology, found the interest rate pricing mechanisms which are based on option- adjusted spread model, matching effective duration of scientific instruments, introduce interest rate derivatives .

关 键 词：隐含期权 利率风险 有效持续期 期权调整利差模型 

分 类 号：F830.33[经济管理—金融学]