Study on models for control of interest rate risks

Analyses different interest rate risks, presents a new model for assessment of interest rates and thereby establishes the framework for control of interest

Managing Interest Rate Risk： An Evaluation of Indian Banks

Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, .mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. It is essential that banks have to monitor, maintain, and manage their assets and liabilities portfolios in a systematic manner taking into account the various risks involved in these areas. Balance sheet risk of a bank can be categorized into two major types of significant risks, which are liquidity risk and interest rate risk （IRR）. IRR is the risk to earning of capital arising from movement of interest rates. The need to manage IRR in Indian banks arises from movement of interest rates. The areas not much considered in the earlier research work are to manage IRR which influences critically the overall profitability of banks. The study was taken with an objective of analyzing the determinants of IRR and examining the strategy to manage such exposures testing the banks long run sustainability. The study had chosen 45 banks and collected secondary data for the financial year 2007 to 2012 to do the analysis of IRR management. The findings of the study were to suggest the ways to minimize the IRR and control its effect on the banks profit. The other findings were to test impact of IRR on the sustainability of the bank.

Analysis on Formation Causes of Interest Rate Risks of Commercial Banks in China

Economy globalization inevitably requires financial globalization. The interest rate （IR） is decided by the market, which will bring about IR risks to commercial banks （CBs）. This paper discusses the inevitability of fulfilling market IR in China and what IR risks Chinese CBs have to burden. It also analyzes the formation causes of IR risks from the exterior and the interior aspects.

INTEREST RATE RISK PREMIUM AND EQUITY VALUATION

The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equity valuation.The risk premium is determined explicitly,by meansof solving a corresponding partial differential equation (PDE),in two forms:one,time-dependent,corresponding to a finite time contract expiration,and the simpler version corresponding to perpetualcontracts.As stocks are perpetual contracts,when solving the problem of equity valuation,the latterform of the risk premium is used.By means of solving the general pricing PDE,an efficient equityvaluation method was developed that is a combination of some sophisticated explicit formulas,and anumerical procedure.

On the Distribution of Duration of First Negative Surplus for a Discrete Time Risk Model with Random Interest Rate

In this paper, we examine further annuity-due risk model presented by Cai （Probability in the Engineering and Informational Sciences, 16（2002）, 309-324）. We consider the computation for the distribution of duration of first negative surplus and the algorithm is shown for calculating probability that ruin occurs and the duration of first negative surplus takes any nonnegative integers values. Numerical illustration for the main result is given.

Predicting Bank Interests When Monetary Rates Are Close to Zero

Monetary policies, either actual or perceived, cause changes in monetary interest rates. These changes impact the economy through financial institutions, which react to changes in the monetary rates with changes in their administered rates, on both deposits and lendings. The dynamics of administered bank interest rates in response to changes in money market rates is essential to examine the impact of monetary policies on the economy. Chong et al. (2006) proposed an error correction model to study such impact, using data previous to the recent financial crisis. In this paper we examine the validity of the model in the recent time period, characterized by very low monetary rates. The current state of close-to-zero monetary rates is of particular relevance, as it has never been studied before. Our main contribution is a novel, more parsimonious, model and a predictive performance assessment methodology, which allows comparing it with the error correction model.

Ruin probabilities with random rates of interest

A model was proposed for addressing investment risk of the flee reserve in the form of credit or currency risk. This risk was expressed by a constant amount K （ e. g., securitization） upon an interest-increasing event and a random variable Z representing the recovery rate of a bond or a devaluation factor. The model equation is an integro-differential equation with deviating arguments. The analytical solutions were obtained for the probability of survival as Z is a discrete random variable and as Z is a continuous random variable respectively.

On pricing of corporate securities in the case of jump-diffusion

Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issue. To make the problem clearly, we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes（1973）, Briys and de Varenne（1997）, i.e, the default barrier is KD （t, T） and the recovery rate is （1 -w）, where D （t, T） is the price of zero coupon default free bond and w is a constant （0 〈 w 〈 1）. By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probability. Further, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt 〈 KD （t, T） and at the same time, the bondholder will receive （1 - w） vt/k By introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probability. Numerical results are presented to show the impact of different parameters to credit spread of bond.

我国实际利率的完备统计测度及其结构性影响因素研究

基于我国通胀和产出的时序特征与经验拟合,本文对较长时期内的实际利率进行较完备的统计测度,并与确定性情景下的实际利率进行对比,讨论其估值偏离情况,特别是低估的水平、结构与诱因,同时从通胀和产出两个视角解释其变动规律。研究发现,第一,在低增长和高通胀状态下,确定性情景必然低估实际利率。即便在低增长和低通胀状态下,当通胀预期偏离度小于其不确定风险补偿效应时,确定性情景仍倾向于低估实际利率,这是近端较长时期内实际利率明显低估的原因。第二,实际风险溢价(与产出及其变动有关)对实际利率的估值有重要影响。从通胀和产出对实际利率估值偏离的解释方向看,其同向解释和反向解释的时点之比约4:6,两者各占主导的时点之比约6:4。此外,基于未来可能的经济状态,分类讨论是否需要降息及降息空间,以及如何引导或降低实际利率。本研究结论以期给相关政策讨论提供有益的启示。

Research on Credit Risk Measurement Based on Uncertain KMV Model

Regarding KMV model identification credit risk profile of small and medium-sized listed companies, at present, domestic scholars has made some achievements in the process of the KMV model combined with China’s national conditions. In this paper, we will amend the model by using uncertain interest rate instead of fixed rate on the basis of existing research. Comparing the uncertain KMV model to traditional KMV model with ST-listed companies and non-ST-listed companies in Shanghai and Shenzhen stock exchange, we find that it performs slightly better as a predictor in uncertain KMV model and in out of sample forecasts.

计及利率与碳价相依性的碳市场风险研究

为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregressive conditional heteroskedasticity)模型对碳价和利率2个风险因子的边缘分布进行拟合,在此基础上,分别采用历史模拟法、蒙特卡罗模拟法、正态模拟法和极值分布法,计算未考虑碳价与利率相依性的碳市场单一风险VaR(Value at risk)。为全面评估碳市场风险,进一步地构建Copula-VaR模型,测度考虑碳价与利率相依性的碳市场集成风险。通过研究发现:碳市场集成风险具有区域异质性,风险由大到小排序为:北京、天津、全国、广东、湖北、深圳。此外,将集成风险与碳市场单一风险VaR进行对比分析,发现忽视碳价格与利率的相依性将导致风险高估。

兼顾增长与风险因素的最适短期政策利率规则研究——基于跨周期设计理念

本文构建了兼顾经济增长和风险因素的利率规则方程,设计了基于跨周期思路的实证方法,通过引入平均损失比来度量政策表现,并使用中国2006年1月至2021年9月的季度数据对模型进行检验与模拟,最终确定了跨周期的最适利率规则方程。研究发现:在系统性金融风险系数被赋予0.1固定低值的规则下,政策效果更好;通胀缺口倾斜型规则的政策效果明显优于产出缺口倾斜型规则;失业率缺口倾斜型规则的政策效果优于通胀缺口倾斜型规则。建议央行优化政策利率形成过程,完善政策引导规则,提升货币政策调控效率。

涉农贷款如何实现可持续供给——基于利率定价和补偿测算的四维分析框架

农村金融的可持续发展离不开涉农贷款的供给。但涉农贷款具有低收益和高风险并存的特征,防范和化解风险的同时又要激励银行持续支农,因而需要建立完善的风险补偿机制。本文立足于农村金融的供给侧,通过拓展利率定价中的价格领导模型,厘定可识别风险的贷款利率,提出了以此利率为基础的补偿数额测算方法,构建银行“内部收益补偿-外部收益补偿”“内部损失补偿-外部损失补偿”的四维量化分析框架,并以W农村商业银行为例做了具体测算。研究发现:(1)当前风险补偿以银行内部补偿为主,外部补偿力度不足;(2)银行外部补偿过少和内部补偿过多,会加剧其脱农离农倾向和贷款行业的持续分化;(3)相比损失补偿,银行对涉农贷款的收益补偿需求更多。据此,应以银行主要承担损失补偿和政府加大外部收益补偿为思路,进一步优化涉农贷款的补偿机制。

金融衍生品交易降低了商业银行风险承担水平吗?——兼论利率类与外汇类金融衍生工具对不同商业银行的影响

本文基于我国42家商业银行2012—2021年间的年度数据,通过建立非平衡面板数据模型,考察金融衍生品对商业银行风险承担水平的影响。结果表明,商业银行使用金融衍生工具能够显著降低其风险承担水平,这一结论通过了稳健性检验。本文还探究了商业银行交易不同类型衍生工具的异质性影响,发现利率类金融衍生工具显著降低了银行的风险承担水平,而外汇类金融衍生工具并未对银行的风险承担水平产生显著影响。进一步研究发现,金融衍生工具能够显著降低地方性银行的风险,而利率类金融衍生工具对全国性银行没有显著影响,外汇类金融衍生工具会显著增加全国性银行的风险。本文丰富了商业银行风险承担的理论研究,对商业银行金融衍生品的交易和监管有一定的借鉴意义。

基于隐马尔可夫模型的台风风险评估与巨灾债券定价研究

发行与台风风险相关的巨灾债券,将承保的台风风险由保险市场转移到资本市场,是保险公司规避巨灾风险的一条重要途径。台风风险的准确评估预测,是台风巨灾债券成功发行的关键。针对台风风险特征,构建了隐马尔可夫模型,以台风年经济损失额为观测序列,预测台风登陆时最大风力等级状态,进而采用风险中性测度技术,在CIR随机利率期限结构下,给出了有息巨灾债券定价公式。结合我国1989—2022年台风灾害损失数据进行实证分析,结果表明,隐马尔可夫模型的台风风险评估预测效果优于其他常用机器学习模型,所建立的定价模型具有可行性。

On Interest-Rate Risk in Use of Postal Savings Funds

This paper analyzes interest-rate risks that postal savings bureau may face. Our analysis is based on the cash flow characteristics of postal savings funds. The analyzed interest-rate risks consist of re-pricing risks, reinvestment risks, yield curve risks, basis risks and other derivative risks such as credit risks and liquidity risks. This paper presents alternative methods to control and manage these interest-rate risks.

On interest-rate risk management of postal savings bureau

This article analyzes interest-rate risks faced by the postal savings bureau （PSB） based on the complete balance sheet. It presents the extended gap model and the extended duration gap model to measure the interest-rate risk, and discusses the inner balance-sheet strategies and the off-balance-sheet strategies to manage the interest-rate risks.

数字化转型、宏观经济环境差异与股价崩盘风险

数字化转型有助于企业自身信息的释放,缓解投资者与企业、企业与产品供需市场之间的信息不对称,并使企业和投资者对宏观经济环境的变化更加敏感。文章在已有研究证明数字化转型能够降低股价崩盘风险的基础上,进一步提出数字化转型对股价崩盘风险具有非线性影响,选取2012年至2021年中国沪深A股上市公司为样本,实证检验企业数字化转型和宏观经济环境差异对股价崩盘风险的复杂影响。研究结果显示:与现有数字化转型能够减弱股价崩盘风险的相关研究不同,企业数字化转型对股价崩盘风险呈现倒“U”型影响,随着企业数字化转型加强,对股价崩盘风险的影响为先增大后减弱,并且当前众多企业数字化转型的影响处于倒“U”型的左侧,致使企业股价崩盘风险上升;在各地区和国家金融市场分割普遍存在的情况下,不同资本市场之间的估值差异、利率差异,以及汇率预期对股价崩盘风险均具有影响;数字化转型使企业与经济社会深度融合,能够调节宏观经济环境差异对股价崩盘风险的影响强度。

兼控利率风险和流动性风险的资产负债组合优化模型

提出了资产负债管理的利率结构对称原理,通过控制持续期缺口和免疫条件来控制利率风险,保护银行股东权益的安全.以线性规划为工具,建立了兼控利率风险和流动性风险的资产负债组合优化模型.将利率结构对称原理引入银行资产组合优化,解决了资产与负债利率的协调和匹配问题,使银行股东的权益在市场利率发生变化时不受到影响和损失,并解决了决策模型的服务对象问题.

含有违约风险的利率风险管理

旨在解决含有违约风险的利率风险管理问题,指出了在商业银行资产负债管理中含有违约风险债券利率风险管理问题研究的必要性,获得了违约风险债券久期的一般公式,建立了含有对违约风险的控制、平均绝对离差约束、平衡表其它相关约束以及目标约束等在内的商业银行利率风险管理的目标规划模型;并在给出数值实例的基础上,讨论了违约风险的存在对银行利率风险管理的影响.