基于随机久期的商业银行价值优化研究

Optimization of Commercial Bank's Value Based on Random Duration

通过分析商业银行价值的本质,比较企业价值的理论及评估方法和讨论商业银行的利率风险及度量方法,选择了收益法以银行的净现金流量为研究口径来分析银行净资产价值的优化问题。定义了金融工具基于连续时点的随机久期,应用随机久期方法管理银行的利率风险,通过久期缺口分析,证明了银行净资产价值与利率之间的关系,得出了银行价值的优化路径,即通过平衡现金流、风险及持续经营三者之间的关系,达到商业银行价值的最佳平衡状态。最后,分析了研究中的局限性以及值得深入探讨的工作方向。

Bank＇s net cash flow and income approach was chosen to analyze the optimization of commercial bank＇s value on the study of the nature of commercial bank＇s value, enterprise value theories and evaluation approaches, bank＇s interest rate risks and their assessment methods. Financial instrument＇s random duration based on continuous time was defined. Furthermore, the random duration method was applied to manage bank＇s interest rate risks. The relationship between bank＇s net assets value and interest rate was proved as well as the optimized path of bank＇s value was obtained according to the duration gap. Namely, the best equilibrium state was achieved by means of balancing the relations among cash flow, risk and sustainable operation. In the end, the limitations of the job and more valuable subjects in future were discussed.