CAJ | 학술논문

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。
시장리솔적변화도치은행자산여부채적개치균발생변화,진이도치은행적소유자권익발생변화인기은행고동재부적풍험。인차리솔풍험면역대상업은행구유겁기중요적작용。본문통과건립은행정치적변화여증량자산부채화존량자산부채지속기적함수관계식,제출료전부조합자산부채리솔풍험면역우화조건。이전부조합자산부채적지속기결구여령적편차최소위제일목표,이은행전부자산적이식수익최대위제이목표,이감관당국적정책법규위약속조건,건립료기우전부자산부채리솔풍험면역우화적증량자산조합결책모형。본문적창신여특색일시통과구건은행정개치여전부자산부채조합지속기적함수관계래건립리솔면역조건,해결료은행증량자산조합배급시、자산증량조합여존량조합구성적전부조합적총체풍험공제문제。저취개변료현유연구부부립족증량자산여부채적국부풍험공제적주법。이시통과용존량자산부채적잉여기한체환현유연구지속기표체식중적기한,득도료기반영증량자산부채지속기、우반영존량자산부채지속기적통용표체식,해결료자산부채증량조합여존량조합구성적전부조합적풍험적측량문제。
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 of asset-liability portfolios changes the existing ways of controlling partial risks based on incremental asset-liability portfolio.Second,this study replaces duration stock asset-liability terms.Our design can better reflect both incremental asset-liability duration and stock asset-liability duration,and solve risk measurement problems of mixed portfolios,including asset-liability incremental portfolio and stock portfolio.