基于Nelson-Siegel模型控制利率风险的资产负债组合优化模型

An Optimization Model of Asset-Liability Portfolio Based on Nelson-Siegel Model to Control Interest Rate Risk

以资产组合月利息收入最大为目标函数,以Nelson-Siegel久期向量零缺口、满足法律法规及银行资产负债管理要求为约束条件,建立资产负债组合优化模型。本文的创新与特色一是基于Nelson-Siegel模型,将利率的变化分解为水平、斜率和曲率因子的变动,更准确地把握利率变化的结构特征,通过Nelson-Siegel久期向量零缺口,能免疫利率期限结构非平行移动产生的风险,比传统久期更具广泛性;二是通过实例对比分析,从资产分配分散化、月度收益和银行净值变化三个方面,证实Nelson-Siegel久期向量模型相比传统久期-凸度模型在商业银行资产负债管理上的优越性。

This paper takes the maximum monthly interest income of assets portfolio as an objective function, and takes the Nelson-Siegel duration vector zero-gap as a condition in addition to meeting the requirements of the laws and regulations as well as banks＇ asset-liability management. The characteristics and innovations of this model are as follows： Firstly, it is based on Nelson-Siegel model, which decomposes the changes of interest rates into changes in the level, slope and curvature factor, and grasps the structural features of interest rate changes more aecurately, which implies that it can immune the risk of non-parallel shift of the term structure of interest rates by the Nelson-Siegel duration vector zero-gap, and the application range is more extensively than the traditional durations Secondly, through the case analysis, it confirms the superiority of Nelson-Siegel duration vector model in commercial banks＇ assets and liabilities management from three aspects of the asset allocation diversity, monthly income and the change of bank＇s net value compares with the traditional duration-convexity model.