银行资产负债中隐含期权的风险衡量及其定价

Risk Value and Pricing of Imbedded Option in Banks' Balance

随着利率市场化进程的加快,银行资产负债中的隐含期权风险渐渐地成为商业银行的主要风险管理对象,针对这种现象,本文提出了一系列隐含期权的风险衡量的数学计量方法,并对隐含期权进行分解定价,最后提出了一些隐含期权的风险控制建议。

With the acceleration of interest rate marketization, the risk of embedded option in assets and liabilities has gradually become the major object of risk management in commercial banks in China. This paper presents some mathematical measuring methods for the risk of the embedded option, and sets prices for the embedded options. Finally, it puts forward some suggestions for riskcontrol.