基于期权理论的商业银行存贷业务解析

An Explanation about Commercial Banks’ Deposit-Loan Business Based on the Theory of Option

目前国内银行经营仍侧重于传统的存贷业务,并将存贷利差作为利润的主要来源。然而,运用金融工程学中的期权理论,可知商业银行的存贷业务中隐含期权的结论。因此银行的利润来源并不能简单归结为存贷利差,还应考虑其中隐含的期权成本。笔者分解其中隐含的期权,分析了隐含期权的特征和期权执行的条件,并通过无套利分析的方法对商业银行存贷业务隐含的期权进行了定价,得出了几个具有借鉴意义的结论。

In the present, domestic commercial banks＇ management still focus on traditional deposit and loan business, and rely on the spread between deposits and loans as a main revenue source. But the author used the theory of option and found the implicit option in these traditional business combining the experience in commercial bank and the theory, and draw the conclusion that the revenue is not the simple spread between the basic asset and liability, the implicit option in these business should also be considered, Then the author decomposed these options and analysed the characters of the option and the factors influencing the execution of options. Using the no arbitrage pricing method, the author priced the options and had some constructive conclusions.