有隐含期权的银行资产负债表的利率风险控制  

Control Over Interest Rate Risk of Bank' Asset/Liability Sheet with Embedded Options

作　　者：罗大伟[1] 万迪昉[1] 

机构地区：[1]西安交通大学管理学院,陕西西安710049

出　　处：《系统工程理论与实践》2002年第8期55-60,共6页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金 (79970 0 13 ) ;国家教育振兴行动计划专项资金 (A2 .9-GL )

摘　　要：加入世贸组织 ,接受国际通行的风险监管标准 ,以及利率的逐步市场化都要求银行业必须建立完备的利率风险控制体系 ,而银行资产负债中隐含期权的存在 ,增加了利率风险管理的复杂程度 .我们就隐含期权条件下银行资产负债表的利率风险控制进行研究 ,选择了资产与负债的持续期缺口和凸度缺口作为控制指标 ;提出了隐含期权条件下银行资产负债表的利率风险的控制策略 ,强调匹配期权调整的持续期 ,以及构造正的凸度缺口对冲负的凸度缺口 ;分析了实施利率风险控制策略所需要的基于利率情景制造的隐含期权的证券估价技术 .The banks must set up the control systems of interest rate risk for that they should accept international regulatory standard of risk after entering WTO, and interest rate is being market\|oriented gradually, but the embedded options in bank's asset/liability sheet enhance the complexity of interest rate risk management. We make researches of control over interest rate risk of bank' asset/liability sheet with embedded options, and select duration gap and convexity gap as the indicators of control over interest rate risk; and advance the strategies of control over interest rate risk under embedded options, which emphasize matching option-adjusted duration and constructing the positive convexity gap to hedge the negative one; and analysis the valuation technology of the security with embedded options on the basis of scene generation of interest rate , which is essential to implementing the strategies of control over interest rate risk under embedded options.

关 键 词：隐含期权 银行 资产负债表 利率风险控制 

分 类 号：F830[经济管理—金融学]