摘要
传统的存贷利差就是贷款利率和存款利率之间的差额。本文利用金融工程学的基本原理提出了银行资产负债业务中隐含着期权的全新观点,因此银行的真实利差并不等于存贷款利率差额,还要考虑银行所承担的期权成本以及违约风险。文章对银行资产负债业务中隐含期权进行了分解,分析其隐含期权的特征以及各个因素对期权执行可能性的影响。接着通过两种方法--无套利分析和数值计算法对隐含期权进行了定价,并进行了期权价格对各个因素的敏感性分析,得出了许多具有创新意义的结论。分解之后可以发现银行的真实利差明显偏低,贷款动力明显不足。
The traditional saving - loan interest rate spread is just the spread between the loan rate and saving rate. By the methods of financial engineering, this paper points out that the basic asset and liability of bank includes some options, which are sent to the customers for free by the bank. Then the real interest rate spread is not just the saving -loan rate spread, the options cost should be also considered. This paper decomposes the implied options in the asset and liability operations of bank, analyzes their characters and the impact of different factors on the execution possibility of option. Two methods, no arbitrage analysis and numerical methods are used to price the implied options and the sensitivity test of option price on different factors is given out. By these, some constructive conclusions are drawn out.
出处
《金融研究》
CSSCI
北大核心
2004年第7期23-32,共10页
Journal of Financial Research
基金
感谢教育部优秀青年教师资助计划"中国信用风险度量和控制模型"项目教育部人文社会科学研究2003年度博士点基金研究项目"中国利率类金融产品的设计和定价"(03JB790016)福建省社科"十五"规划(第二期)项目(2003B069)的资助。
关键词
隐含期权
资产定价
银行管理
implied options, asset pricing,bank management