基于VaR控制预留缺口的资产负债管理优化模型

Asset and Liability Management Optimal Model based on VaR Preparation Duration Gap

以利率变化后的VaR风险限额约束条件,以资产组合的利息收入最大为目标函数,建立资产负债组合优化模型。本文的创新与特色一是通过预设持续期缺口使银行的资产组合在利率变动的有利条件下增加银行净值。这弥补了现有的零缺口免疫条件的资产组合不能使银行股东权益在利率变化中增加的缺陷。二是利用VaR技术建立约束条件控制预设的持续期缺口。在利率变动的不利条件下,通过在一定置信水平下的最大损失限额控制资本损失,把银行可能面临的利率风险限定在银行的净利息收入范围内。这种优化配给控制了资本损失,保护了股东权益,开辟了资产优化配置研究的新思路。三是利用银行间市场7天回购利率(R07D)的历史数据,估计了未来的市场利率波动量的概率分布,解决了由于影响因素多而难以刻画市场利率变动情况的问题。

Asset liability management is an effective method to maximize asset portfolio profits by coordinating internal relationships between capital source and capital use at an acceptable risk level.A bank＇s net worth or shareholder equity changes constantly because the values of asset and liability change with interest rates.Risk control of interest rates is important because interest rate risks are an kernel aspect in asset liability management. Assets liabilities management optimal model is set up through VaR risk control constrained with interest rate changes,and profit maximization of asset portfolio.Preparation duration gap offers an opportunity to increase a bank＇s net worth at floating interest rates moving in favorable directions.Preparation duration gap can help control changes to a bank＇s net worth through VaR constraints of risk limitation when market interest rates change in unfavorable directions.We make sure that a bank＇s capital losses do not exceed net interest profits at certain confidence levels.A bank＇s interest rate risk is controlled at an acceptable tolerance level. In Section I,we introduce the advantages and disadvantages of interest rate risk management based on the current literature.A bank＇s assets portfolio can increase the bank net worth through preparation duration gap when the market interest rate changes in favorable directions.A bank＇s assets portfolio meets the requirement risk limitation.Through the preparation duration gap,asset portfolio can increase a bank＇s net worth at floating interest rates when market interest rates change in favorable directions.Through the preparation duration gap,a control bank＇s assets portfolio can meet risk limitation requirements at certain confidence levels when market interest rates change in unfavorable direction.In Section 2,we propose a model to optimize asset and liability management based on the preparation duration gap.The model uses an objective function of interest income maximum and risk constrains of positive and negative preparation gap.In Section 3,we discuss data application,modeling process,optimal result,and comparison results.We conclude our paper in Section 4. This paper makes three major contributions.First,we discover that a bank＇s net worth will increase through the preparation duration gap when interest rate changes in favorable conditions.This is an alternative solution to the findings of the current research that a bank＇s net value cannot be increased when the duration gap is zero.Second,we use the Value at Risk to build constraints of preparation duration gap.Profit loss caused by interest rate risk can be minimized through the control of maximum loss at certain confidence levels.Optimization of allocation can help control capital loss,protect a bank＇s owner equity,and develop new ideas of optimal asset optimization.Last,we use interest rates over seven days to estimate the probability distribution of the future market rate fluctuation,and solve problems caused by market rate fluctuation.