基于信用风险久期免疫的资产负债管理优化模型  

Optimization Model of Asset-Liability Portfolio Based on Credit Risk Duration Immunization of Interest Rate Risk

作　　者：刘艳萍[1] 涂荣 迟国泰[1] 

机构地区：[1]大连理工大学管理学院 [2]唐山市商业银行

出　　处：《管理学报》2010年第2期278-288,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：用信用风险溢酬修正现金流的贴现率,构造了基于信用风险久期免疫条件;以组合收益最大为目标函数,建立了基于信用风险久期免疫的资产负债组合优化模型。本模型通过建立信用风险久期的免疫条件匹配银行的资产与负债,回避了利率风险和信用风险对银行所有者权益的影响;通过用反映违约风险的贴现率表述信用久期函数,揭示了信用风险对久期的影响;通过看跌期权公式建立了贴现率与违约风险的函数关系,揭示了违约风险对贴现率的影响。This paper ,which uses the interest rate adjusted by risk premium instead of risk-free rate, constructs immunity conditions based on credit risk duration, and sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk with the objective of maximizing loan portfolio＇s return. By setting up immunity conditions of credit risk duration to match Asset-Liability of commercial banks, it avoids loss of owners＇ equity caused by interest risk and credit risk. By using the discount rate which reflects default risk to express function of credit risk duration, it shows the influence of default risk on duration. By using the put option formula to establish the function relationship between default risk and discount rate, it discovers the effect of default risk on discount rate.

关 键 词：资产负债管理 利率风险 信用风险 信用风险久期 信用风险久期免疫 

分 类 号：C93[经济管理—管理学] F830.33