基于利率非平行移动风险控制的资产负债组合优化模型  

Optimization Model of Asset-Liability Portfolio Based on Non-parallel Shift Interest Rate Risk Control

作　　者：刘艳萍[1] 巩玉芳[1] 迟国泰[1] 

机构地区：[1]大连理工大学管理学院

出　　处：《管理学报》2009年第9期1215-1225,共11页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70471055);高等学校博士学科点专项科研基金资助项目(20040141026)

摘　　要：引入现金流离散度对收益率曲线非平行移动带来的利率风险进行免疫,以银行各项资产和负债的现金流离散度零缺口为约束条件,以银行各项贷款组合收益最大为目标函数,建立了基于利率非平行移动风险控制的资产负债组合优化模型。该模型通过现金流离散度的零缺口免疫匹配银行的资产与负债,控制了利率期限结构非平行移动带来的利率风险。该利率期限结构非平行移动的风险免疫更具有普遍性。通过不同时段的远期收益率来贴现资产和负债的现金流,使现金流离散度的计算更加准确。反映了不同时期收益率变化对各期现金流的影响,提高了现金流离散度的计算精度,改变了现有研究的久期免疫用恒定的名义利率贴现现金流的做法。This paper introduces M-Abosolute to immune the interest rate risk caused by the non- parallel shift of yield curve. Taking the M-Absolute zero-gap immunization as constraint conditions and taking the maximum interest income of loan portfolio as an objective function, the paper establish- es optimization model of asset-liability portfolio based on immunization of non-parallel-shift interest rate risk. The characteristics and innovations of this model are as follows： Firstly, it matches tlie as- sets and liabilities of commercial bank by M-Absolute zero-gap immunization, which controls the in- terest rate risk caused by the non-parallel shift of interest term structure. Secondly, discounting the cash-flow of the assets and liabilities by different forward interest rate makes the calculation of the M- Absolute more accurate, which reflects the various yield point change, improves the accuracy of the calculation of the M-Absolute and changes the discounted methods that use invariable nominal interest rate.

关 键 词：资产负债管理 利率风险控制 现金流离散度零缺口免疫 组合优化 

分 类 号：F830.33[经济管理—金融学] O224[理学—运筹学与控制论]