基于违约强度信用久期的资产负债优化模型

Optimization model of asset-liability portfolio based on credit duration and default intensity

在经典的Macaulay利率久期的基础上引入违约强度参数,构建信用久期测度模型并基于信用久期建立信用和利率风险整体免疫模型.本文的主要创新与特色：一是根据简约化定价理论,通过违约强度和违约损失率确定各期现金流的违约风险溢价,通过含违约风险溢价的折现利率对Macaulay经典利率久期模型的参数进行修正,构建了同时反映信用风险和利率风险的“信用久期”测度模型,完善了经典的Macaulay利率久期测度参数,提高了利率风险免疫的精度.二是通过同时反映信用风险和利率风险的“信用久期”,来揭示信用久期缺口对银行净值的影响.通过信用久期缺口为O的免疫条件,建立了同时控制利率风险和信用风险的资产优化模型.改变了Macaulay经典久期免疫条件忽略违约风险对银行净值影响的弊端.三是根据Cox回归的生存分析模型,通过违约强度为基准违约强度与企业自身风险因素的乘积的思路,拟合出时变的违约强度,确定不同时间点上的企业违约风险溢价,改变了现有研究的信用风险久期忽略违约风险溢价时变性的不足.对比表明：当市场利率发生变动时,本研究的信用久期免疫模型可以准确免疫利率风险,保证银行净值不受损失.而Macaulay久期免疫模型并不能准确免疫利率风险,利率的变动仍然会导致银行净值的损失.

This paper applied the default intensity parameters to measure the credit risk premium of cash flow. On the basis of Macaulay duration, credit duration measure model and credit duration immune condition were established, which can control interest rate risk and credit risk. The innovations and characters of this paper： Firstly, according to simplification pricing theory, credit risk premium of cash flow was calculated by default intensity and loss given default. By the discount rate containing credit risk premium changing the discount rate in Macaulay duration, credit duration measure model was established, which perfects Macaulay duration and improves the precision of the interest risk immunization. Secondly, by credit duration reflecting credit risk and interest rate risk, the relation function of credit duration gap and net value of bank was constructed. By the immunity condition which is credit duration gap equal to zero, optimization model of asset-liability portfolio was established. It changes the disadvantage of Macaulay duration immunity which only can control interest rate risk, but cannot control credit risk. Thirdly, according to Cox regression model, default intensity is the product of benchmark default intensity and risk factors of the enterprise itself. By this model, this paper fitted out default intensities at different time and calculated credit risk premiums at different time. It changes credit risk duration in existing research cannot reflect the fact of credit risk premiums changing as time. The comparison result shows： when market interest rate changes, model of this paper can accurately immune interest rate risk, but Macaulay duration immunity condition cannot immune interest rate risk and bank net will loss.