稳健资产负债管理最优化模型及实证分析

本文提出一种新的稳健资产负债模型最优化模型.该模型考虑了利率的不确定性对未来现金流、资金成本和资产收益率的影响.我们通过构建情景树反映未来的利率变化的情景结构.由于最优决策对利率的预测十分敏感,我们提出系数预测值可在一定误差范围内的稳健资产负债最优化模型.实证分析结果表明,从收益与风险均衡的角度看,稳健优化模型产生的保守解优于系数确定的优化模型产生的最优解.

Robust Asset and Liability Management Model with Empirical Analysis

In this paper we present a new robust asset and liability model,which considers the uncertain interest rate＇s influence on future cash flows,capital cost and return of assets.We use scenario tree to illustrate the trend of future interest rate.Since the optimal decision is very sensitive to the forecasting of the interest rate,we propose a robust model where the range of parameters are characterized by ellipsoid area.Our empirical analysis shows that the proposed robust model outperforms the classical model in the aspect of balancing risk and yield.