银行资产负债中隐含期权的识别与风险管理

Valuation and Venture Management of Banks Asset/Liability Sheet with Embedded Options

随着中国利率市场化改革进程的不断推进,中央银行基准利率的调节频率和商业银行存贷款利率的自主调节幅度都在不断扩大,银行的利率风险正在不断增加,因此商业银行迫切要求及时建立完备的利率风险管理体系。然而传统的银行风险管理方法如资产负债缺口管理,久期管理和凸度管理等已经无法适应隐含期权的资产负债的利率风险管理要求。

As marketed- oriented interest refonnation proceeds in China, there is a high frequeney of Central bank changing basic interest rate and extent between commercial bank deciding saving and lending rate. Since commercial bank ＇ s interest risk increases.It is necessary for commercial banks to establish interest rate management system.However, traditional interest rate management such as duration gap and convexity gap cannot satisfy the requirements of bank ＇ s asset/liability sheet with embedded options.