隐含期权对商业银行久期匹配策略的影响分析

An Analysis of the Effect of Embedded Option on Duration-match Strategy of Commercial Banks

随着利率市场化进程的发展,利率调整越来越频繁,利率波动的幅度也越来越大,隐含期权越来越多地嵌入在商业银行的资产负债项目中,成为利率风险管理的新难题。在识别、分解隐含期权以及理论分析隐含期权对久期模型影响的前提下,选择跳跃模型,并基于蒙特卡罗模拟方法,实证分析隐含期权对商业银行久期匹配策略的影响,得出如下结论:商业银行存贷款中无隐含期权的时候,久期匹配策略能很好的管理商业银行的利率风险;而当隐含期权存在时,使用有效久期匹配策略只能对冲久期不匹配风险,但是不能对冲由凸度缺口带来的隐含期权利率风险。

With China＇s market economy undergoing a further development, the fluctuation of interest rate becomes more frequent and wider in range. An increasing number of embedded options are inevitably contained in the assets and liabilities of banks, which has become a new problem in the management of interest rate risk. Based on the Jdentifieation, decomposition and theoretical analysis of the effects of embedded option on duration model, this paper used the jump model and analyzed the effeet of embedded option on the duration-match strategy of commercial banks comprehensively based on the Monte Carlo simulation method. The main results are as follows： if there are no embedded options in deposits ancl loans, duration-match strategy will be enough for a bank to avert interest rate risk; if there are embedded options in deposits and loans, matching the effeetive duration can only hedge the duration mismatch risk, and the embedded options bring additional optional risks to the bank through convexity gap.