基于期权调整持续期的银行资产负债组合优化模型

Optimization Model of Asset-Liability Portfolio Based on the Option-Adjusted Duration

提出了基于期权调整持续期的银行资产负债隐含期权风险控制原理,结合持续期缺口的控制和法律、法规约束等控制银行的利率风险与流动性风险。以贷款利息收益最大为目标,以线性规划为工具,建立了基于期权调整持续期的银行资产负债组合优化模型。本文的创新与特色一是提出了基于期权调整持续期的银行资产负债组合优化原理,避免了资产与负债中的隐含期权给银行带来提前偿付风险。二是将利率结构对称原理和数量结构对称原理引入资产负债组合优化中,控制了银行经营中的流动性风险与利率风险,保护银行股东权益的安全,保证了银行资产配给的合法性与合规性。

This paper puts forward the theory of controlling embedded-option risk of the asset-liabihty management base on the option-adjusted duration, and combining duration gap and laws and regulations control of banks＇ interest risk and liquidity risk. It takes the maximum interest rate of loans as the target and linear programming as the tool to set up the optimized asset-liability portfolio model based on option-adjusted duration. The first innovation and characteristic of this paper is that it introduces the theory of controlling embedded-option risk of the asset-liability management base on the option-adjusted duration. Secondly, it introduces the interest rate structure symmetry, theory and quantity structure symmetry theory to the optimization of banks＇ assets and liabilities portfolio in order to conrail the liquidity and interest risk in banks＇ operation, protect the interest of shareholders and guarantee the validity of banks＇ assets rationing in law and regulation.