基于动态利率风险免疫的银行资产负债优化模型

本文以CIR动态久期缺口的免疫条件为约束进行多资产和多负债的利率风险控制,通过建立线性规划模型来进行银行资产的最优配置。本文的创新与特色:一是通过引进随时间变化的动态利率久期参数构造利率风险控制条件,建立了控制利率风险的资产负债优化模型。改变了现有研究忽略利率动态变化、进而忽略平均久期动态变化的弊端。事实上,利率的动态变化必然引起平均久期的变动,忽略利率变动的控制条件是无法高精度地控制资产配置的利率风险的。二是通过以银行资产收益最大为目标函数,以动态利率久期缺口免疫为主要约束条件,辅以监管的流动性约束匹配银行的资产负债,回避了利率风险对银行所有者权益的影响,避免了利率变动对银行资产所有者带来的损害。

Optimal Model of Asset-Liability-Management of Bank Based on the Dynamic Interest Rate Immunization of Interest Rate Risk

This paper controls the interest rate risk of multiple assets and multiple liabilities based on the immune condition of CIR dynamic duration gap and establishes a linear programming model to make the optimal allocation of bank assets. The innovation and characteristics are: Firstly, we use the time dependent dynamic interest rate duration parameter to build the interest rate risk control condition, and establish an asset liability optimization model to control interest rate risk. Through our research, this paper changes the existing research that has neglected the dynamic change of interest rate and the dynamic change of the average duration. In fact, the dynamic change of interest rate will inevitably cause the change of average duration. If we ignore the control condition of interest rate change, the control of the interest rate risk of asset allocation will not be accurate. Secondly, we allocate the bank's assets and liabilities by using the maximizing profit of bank assets as objective function, the dynamic interest rate duration gap immunization as the main constraint, and the liquidity as the constraint. Thus, we avoid not only the impact of interest rate risk on bank equity, but also the changes of interest rates damaging the bank asset owners.