摘要
通过方向久期和方向凸度的免疫条件来控制资产配给中的利率风险,建立了银行资产负债组合优化模型.本文通过资产或负债价格对利率一阶导数受不同时段利率变动的影响而形成方向久期的思路,提出其二阶导数也受不同时段利率变动影响形成方向凸度的概念.通过资产或负债的凸度受不同时段利率变动的影响关系给出方向凸度的表达式,反映了即期利率及其变动对贴现现金流的影响,改变了现有研究忽略利率变化对凸度的影响的状况.通过方向久期和方向凸度的双重免疫建立优化模型,解决了无论利率在不同时段的变化量是否相同均可进行风险免疫问题.
This article builds an asset-liability portfolio optimization model to control the bank interest rate risk with directional-duration and directional convexity. It carries on the idea of directional duration, which is the first order derivative of the price of assets or liabilities to interest and will not be affected by the moving interest rates for different timing. One of the contributions of this article is that it comes up with directional convexity, which is the second order derivative of the price of assets or liabilities to interest, and broadens the way of asset-liability matching. Another is the expression of directional convexity, which is ignored by current research and which clearly represents the effects of interest rate and its changes to the discounted cash flows. The last is that it solves the problem of interest rate immunization for different interest rate changes and timing through directional duration and directional convexity.
出处
《系统工程学报》
CSCD
北大核心
2012年第4期506-512,共7页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(71171031
70471055
79770011)
教育部科学技术研究资助项目(2011-10)
大连银行资助项目(2012-01)
中国邮政储蓄银行总行资助项目(2009--07)
中央高校基本科研业务费专项资金资助项目(DUT10RW423)
关键词
资产负债管理
利率风险免疫
方向久期免疫
方向凸度免疫
组合优化
asset and liability management
interest risk immunity
directional duration immunization
directional convexity immunization
portfolio optimization
