基于“四维久期”利率风险免疫的资产负债组合优化模型  

Optimization Model of Asset-Liability Portfolio Based on “Four Dimensional Duration” Interest Rate Risk Immunization

作　　者：周颖 杨洁 ZHOU ging;YANG Jie(Faculty of Management and Economics,Dalian University of Technology,Dalian 116024,Liaoning,China)

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《系统管理学报》2019年第1期86-97,共12页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71471027;71731003;71431002;71873103);国家自然科学基金青年基金资助项目(71601041;71503199);国家社会科学基金一般项目(16BTJ017);辽宁省经济社会发展研究课题(2019lslktyb-037)

摘　　要：利率风险管理是银行资产负债管理中的核心内容。以银行月利息收益最大为目标函数,以水平、斜率、曲率和峰度4个维度的零久期缺口为约束条件,构建商业银行资产负债组合优化模型。将反映收益率曲线水平因子、斜率因子、曲率因子和峰度因子4个维度变化的Svensson模型参数引入经典的Nelson-Siege久期模型,建立"四维久期"模型,从4个维度更加准确地衡量利率风险。不但可以反映Nelson-Siege久期的水平因子、斜率因子和曲率因子,而且还反映了峰度因子。以"四维久期"的利率风险免疫条件为约束,以商业银行利息收益最大为目标函数,建立控制利率非移动风险的资产负债组合优化模型,确保在利率发生变化时,银行的净资产不受损失。Interest rate risk management is the core content in bank assets and liabilities management.Taking the maximum monthly interest income of the bank as the objective function,with the zero-period gaps of the four dimensional duration: horizontal,slope,curvature,and kurtosis as the constraints,the asset-liability portfolio optimization model of commercial banks was constructed.The parameters of the Svensson model,which reflect the four dimensions of the yield curve,the slope factor,the curvature factor,and the kurtosis factor,were introduced into the classic Nelson-Siege duration model,which can measure the interest rate risk more accurately from four dimensions,and can ensure that the net assets of commercial banks are not lost when interest rates changes.

关 键 词：资产负债管理 利率风险免疫 零久期缺口 组合优化 优化模型 

分 类 号：F830[经济管理—金融学]