商业银行利率风险计量模型及实证分析——非平移收益曲线条件下的随机免疫策略

A Positive Analysis on Interest-Rate Risks Modeling in Commercial Banks——Stochastic immunization strategy under non-parallel yield curve shifts

传统的久期理论建立在收益曲线平移等严格假设条件上,因而其在实践中的有效性大大降低了。根据Markowitz(1959)等理论可推导出:资产价格的总风险包括收益的方差和全久期向量两部分;假若商业银行采取现金中性(cash neutrality)的资产交易策略,风险计量模型可转换为线性规划问题,从而可以构建基于利率风险最小化模型的随机免疫策略。也就是说,引入随机免疫的理念来替代经典的免疫理论,通过实证分析得出:无现金交易条件下的随机免疫策略能够降低利率风险。

Traditional duration theories are built on strict hypothesis such as parallel yield curve shifts, so their effectiveness in practice is greatly lowered. Following Markowitz（ 1959）, it can be deduced that the total risks of asset price consist of the variance of return and the total duration vector; that if commercial banks adopt a cash-neutrality trade strategy, risk econometrics modeling can be transformed to linearity program problem. Thus, this paper builds up stoctastic immunization strategy on basis of minimizing interest-rate risks model,i. e. the classical immunization theory is replaced by the stochastic strategy. By conducting empirical analysis on related data, we draw a conclusion that under cash neutrality the stochastic strategy can lower interest-rate risks.