我国银行负债隐含期权定价的应用研究

The Application of Embedded Option Pricing in Bank's Liabilities

本文把存款的隐含期权分成银行承担部分利率风险和承担流动性风险两部分,并利用数值分析等方法对两部分公允价值分别进行定价。同时还引入了利率计算的新方法。并利用该方法得出了几点具有重要创新意义的结论,成功地揭示了银行在存款隐含期权中的双重收费及存款人补贴贷款人的本质。

The paper divides the value of embedded options into two parts. Firstly, the depositors keep the deposits when the interest ratio goes down and withdraw the deposits before maturity when the interest ratio goes up. So we must compensate for the loss of the bank. Secondly, when the deposit to be withdrawn in case of not informed before its maturity, it will change the gap of assets and liabilities, causing bankruptcy due to lack of liquidity. After gaving the composing of the value of embedded options, we use numerical analysis method to price these two parts respectively. At the same time, we bring new ratio calculation method, and come to some creative conclusion successfully with the new method： there is a dual cost in the embedded option pricing and the depositors＇ compensation for the accommodator in the bank＇s debt and credit business.