基于随机久期缺口控制的全资产负债优化模型  

Optimization model of assets and liabilities management based on stochastic duration gap

作　　者：迟国泰 张志鹏 刘艳 CHI Guotai;ZHANG Zhipeng;LIU Yan(Faculty of Management and Economics of Dalian University of Technology,Dalian 116024,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：《管理工程学报》2020年第3期199-213,共15页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71471027、71731003);国家社科基金一般项目(16BTJ017);辽宁经济社会发展重点课题(2015lslktzdian-05);辽宁省社科规划基金项目(L16BJY016)。

摘　　要：资产负债管理是银行等金融机构在负债结构和总量一定的前提下,通过对资产进行优化配置,达到资产流动性、盈利性和安全性“三性”之间的平衡。本文基于CIR动态利率期限结构求解随机久期,对包括增量和存量在内的全部资产负债组合的久期缺口进行预留和约束,构建资产负债优化模型控制利率风险。本文的创新与特色有三:一是以控制CIR利率期限结构的随机久期缺口为约束条件建立非线性规划模型、对资产配置进行利率风险免疫,反映了利率随时间的动态变化,突破了Macaulay久期、FW久期等现有研究的利率随时间的变化是固定不变或平行移动的限定条件,使资产配置的利率风险免疫更加符合现实情况。二是建立了包括增量资产负债与存量资产负债的全资产负债优化配置模型,改变了现有资产负债模型大多只考虑增量资产负债、而忽略存量资产负债的弊端。三是以市场利率朝着最不利方向变动时、预留缺口损失后的资本充足率仍满足监管要求为约束条件,保证了在利率不利变动情况下损失仍在可控范围内,在利率有利变动时银行净值增加。Asset-Liability Management(ALM)is to achieve an optimal allocation of assets under the constraints on the number and structure of the liabilities,to realize the maximization return of the portfolio by pursuing assets liquidity,profitability,and safety.Since the assets are equal to liabilities plus the owners'equity,the value of the assets and liabilities of banks changes correspondingly when the interest rates change,and the changes of the two cannot always be the same.Therefore,the value of the owner's equity will inevitably change.Therefore,interest rate risk is one of the risks that must be controlled in asset-liability management.Moreover,in the operation of banks,the loan interest rate is not fixed but is characterized by volatility and randomness.Macaulay duration or static NS duration model cannot accurately identify the random change of the real interest rate.The first part of this paper gives the stochastic duration function based on the dynamic interest rate term structure of CIR.Thus we consider the dynamic change of the interest rate over time and ameliorate the existing research like Macaulay and F-W duration that interest rates are fixed or in parallel movements.Thus,the interest rate risk immunization can be more in line with reality.By taking into consideration of the existing portfolio risk and increment portfolio risk,we improve the existing research that ignores the interest risk of stock assets and liabilities when performing asset allocation.By reserving a duration gap rather than making a gap of zero,the bank owner's equity is increased when interest rates change favorably,and the bank's capital adequacy ratio can still meet regulatory requirements when interest rates are adversely changed.In the second part,the method of determining parameters of both the CIR model and the stochastic duration is given.It includes the steps of estimating the parameters of the CIR model with the discrete method,fitting the relationship between the market interest rate and term t by an exponential function,and

关 键 词：银行资产负债管理 利率风险控制 随机久期 CIR模型 全部资产负债组合 

分 类 号：F830.33[经济管理—金融学] O221.1[理学—运筹学与控制论]