基于全部资产负债利率风险免疫优化的增量资产组合决策模型  

The Incremental Portfolio Decision-Making Model Based on the Interest Rate Risk Immune Optimizing of Total Assets and Liabilities

作　　者：迟国泰[1] 张玉玲[1] 王元斌[1] 

机构地区：[1]大连理工大学工商管理学院,辽宁大连116024

出　　处：《管理工程学报》2011年第2期161-172,共12页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70471055);中央高校基本科研业务费专项资金资助(DUT10ZD107;DUT10RW107);大连市社会科学院资助项目;教育部人文社会科学研究项目基金资助(09YJC790024)

摘　　要：市场利率的变化导致银行资产与负债的价值均发生变化,进而导致银行的所有者权益发生变化引起银行股东财富的风险。因此利率风险免疫对商业银行具有极其重要的作用。本文通过建立银行净值的变化与增量资产负债和存量资产负债持续期的函数关系式,提出了全部组合资产负债利率风险免疫优化条件。以全部组合资产负债的持续期缺口与零的偏差最小为第一目标,以银行全部资产的利息收益最大为第二目标,以监管当局的政策法规为约束条件,建立了基于全部资产负债利率风险免疫优化的增量资产组合决策模型。本文的创新与特色一是通过构建银行净价值与全部资产负债组合持续期的函数关系来建立利率免疫条件,解决了银行增量资产组合配给时、资产增量组合与存量组合构成的全部组合的总体风险控制问题。这就改变了现有研究仅仅立足增量资产与负债的局部风险控制的做法。二是通过用存量资产负债的剩余期限替换现有研究持续期表达式中的期限,得到了既反映增量资产负债持续期、又反映存量资产负债持续期的通用表达式,解决了资产负债增量组合与存量组合构成的全部组合的风险的测量问题。Asset liability management method regards asset and liability as parts of an integrated investment portfolio,and manages them together to control risks and resource distribution.The method can help investors maximize their returns at an acceptable risk level by coordinating the relationships among capital use,liquidity,security and profitability.Changes of market interest rates can cause changes of a bank＇s asset and liability values,thereby affecting a bank＇s equity and shareholder wealth.Thus,interest risk immunization plays an important role for a bank to manage its clients＇ asset and liability.This paper proposes that optimal conditions to manage interest rates of risk immunization for all asset and liability portfolios can be achieved by establishing functional relationships between a bank＇s net value changes,incremental asset and liability,and stock asset-liability duration.The first goal of this study is to minimize the deviation between the duration gaps of all asset-liability portfolios as ＂0.＂The second goal is to maximize interest incomes of banks＇ assets.Supervisory policies and regulations are constraints.We constructed an incremental asset portfolio decision-making model based on the risk immunization optimum of all asset-liability interest rates.This paper is made of 5 sections.Section 1 reviewed current literature on immune conditions of interest rate risks.Section 2 discussed theories on asset and liability portfolio optimization and developed immune conditions to assess interest rate risks based on a bank＇s net worth function and the duration of incremental stock portfolios.Section 3 discussed incremental asset portfolios based on the risk immunization of asset-liability interest rates.Section 4 modeled the decision-making process and discussed optimal results using real examples.Section 5 concluded this study with major findings and future research directions.This study made two major contributions.First,the proposed interest rate immunization conditions to maximize the return o

关 键 词：资产负债管理 利率风险免疫 增量组合 存量组合 全部组合 组合优化 

分 类 号：F830.33[经济管理—金融学] C931[经济管理—管理学]