基于违约强度信用久期的资产负债优化模型
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摘要
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.
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.
引文
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[9]李晶晶,杨宝臣,苏云鹏.多因子HJM框架下的利率风险测度模型[J].系统工程理论与实践,2014,34(11):2783-2790.Li J J,Yang B C,Su Y P.Interest rate risk measure model under the multi-factor HJM framework[J].Systems Engineering—Theory&Practice,2014,34(11):2783-2790.
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[11]Gajek L,Krajewska E.A new immunization inequality for random streams of assets,liabilities and interest rates[J].Insurance:Mathematics and Economics,2013,53(3):624-631.
[12]Li D,Rong X,Zhao H.Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk[J].Insurance Mathematics&Economics,2015,64:28-44.
[13]Chance D M.Default risk and the duration of zero coupon bonds[J].The Journal of Finance,1990,45(1):265-274.
[14]王春峰,杨建林,蒋祥林.含有违约风险的利率风险管理[J].管理科学学报,2006(2):53-60.Wang C F,Yang J L,Jiang X L.Management of interest rate risk with default risk[J].Journal of Management Sciences in China,2006(2):53-60.
[15]刘艳萍,涂荣,迟国泰.基于信用风险久期免疫的资产负债管理优化模型[J].管理学报,2010(2):278-288.Liu Y P,Tu R,Chi G T.Optimization model of asset-liability portfolio based on credit risk duration immunization of interest rate risk[J].Chinese Journal of Management,2010(2):278-288.
[16]陈荣达,陆金荣.可违约零息债券风险综合度量Monte Carlo方法[J].管理科学学报,2012,15(4):88-98.Chen R D,Lu J R.A Monte Carlo method of integrated risk measurement for defaultable zero-coupon bonds[J].Journal of Management Sciences in China,2012,15(4):88-98.
[17]Drehmann M,Sorensen S,Stringa M.The integrated impact of credit and interest rate risk on banks:A dynamic framework and stress testing application[J].Journal of Banking&Finance,2010,34(4):713-729.
[18]Chen R R,Cheng X,Wu L.Dynamic interactions between interest-rate and credit risk:Theory and evidence on the credit default swap term structure[J].Review of Finance,2013,17(1):403-441.
[19]Duffie D,Singleton K J.Modeling term structures of defaultable bonds[J].Review of Financial Studies,1999,12(4):687-720.
[20]达雷尔·达菲,肯尼思·J.辛格尔顿.信用风险-定价、度量和管理[M].许勤,魏嶷,杜鹃,译.上海:上海财经大学出版社,2009.Duffie D,Singleton K J.Credit risk:Pricing,measurement and management[M].Shanghai:Shanghai University of Finance and Economics Press,2009.
[21]彭非,王伟.生存分析[M].北京:中国人民大学出版社,2004:229-230.Peng F,Wang W.Survival analysis[M].Beijing:China Renmin University Press,2004:229-230.
[22]迟国泰,闫达文.基于VaR控制预留缺口的资产负债管理优化模型[J].管理工程学报,2011,25(3):123-132.Chi G T,Yan D W.Asset and liability management optimal model based on VaR preparation duration gap[J].Journal of Industrial Engineering/Engineering Management,2011,25(3):123-132.
[23]大连银行.大连银行小企业信贷管理系统[DB].大连:大连银行,2013.Dalian Bank.Small business credit system of Dalian Bank[DB].Dalian:Dalian Bank,2013.
[24]迟国泰,张玉玲,王元斌.基于全部资产负债利率风险免疫优化的增量资产组合决策模型[J].管理工程学报,2011(2):161-172.Chi G T,Zhang Y L,Wang Y B.The incremental portfolio decision-making model based on the interest rate risk immune optimizing of total assets and liabilities[J].Journal of Industrial Engineering,2011(2):161-172.
[2]Alessandri P,Drehmann M.An economic capital model integrating credit and interest rate risk in the banking book[J].Journal of Banking&Finance,2010,34(4):730-742.
[3]卞世博,刘海龙,张晓阳.信用债券型基金的最优资产配置策略[J].系统管理学报,2012,21(5):596-601.Bian S B,Liu H L,Zhang X Y.Optimal investment strategies for defaultable bond fund[J].Journal of Systems&Management,2012,21(5):596-601.
[4]刘勇军,张卫国,徐维军.考虑现实约束的模糊多准则投资组合优化模型[J].系统工程理论与实践,2013,33(10):2462-2470.Liu Y J,Zhang W G,Xu W J.Fuzzy multiple criteria portfolio selection optimization model under real constrains[J].Systems Engineering—Theory&Practice,2013,33(10):2462-2470.
[5]曾燕,黄金波.基于均值-AS模型的资产配置[J].管理科学学报,2016,19(2):95-108.Zeng Y,Huang J B.Asset allocation based on Mean-AS model[J].Journal of Management Sciences in China,2016,19(2):95-108.
[6]Birge J R,Judice P.Long-term bank balance sheet management:Estimation and simulation of risk-factors[J].Journal of Banking&Finance,2012,37(12):4711-4720.
[7]Best M J,Grauer R R,Hlouskova J,et al.Loss-aversion with kinked linear utility functions[J].Computational Economics,2014,44(1):45-65.
[8]张初兵,荣喜民.仿射利率模型下确定缴费型养老金的最优投资[J].系统工程理论与实践,2012,32(5):1048-1056.Zhang C B,Rong X M.Optimal investment for DC pension under the affine interest rate model[J].Systems Engineering—Theory&Practice,2012,32(5):1048-1056.
[9]李晶晶,杨宝臣,苏云鹏.多因子HJM框架下的利率风险测度模型[J].系统工程理论与实践,2014,34(11):2783-2790.Li J J,Yang B C,Su Y P.Interest rate risk measure model under the multi-factor HJM framework[J].Systems Engineering—Theory&Practice,2014,34(11):2783-2790.
[10]尹力博,韩立岩.基于多阶段随机规划模型的国债动态积极投资策略[J].中国管理科学,2015,23(6):9-16.Yin L B,Han L Y.Multi-stage stochastic programming model for active and dynamic government bonds investment strategies[J].Chinese Journal of Management Science,2015,23(6):9-16.
[11]Gajek L,Krajewska E.A new immunization inequality for random streams of assets,liabilities and interest rates[J].Insurance:Mathematics and Economics,2013,53(3):624-631.
[12]Li D,Rong X,Zhao H.Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk[J].Insurance Mathematics&Economics,2015,64:28-44.
[13]Chance D M.Default risk and the duration of zero coupon bonds[J].The Journal of Finance,1990,45(1):265-274.
[14]王春峰,杨建林,蒋祥林.含有违约风险的利率风险管理[J].管理科学学报,2006(2):53-60.Wang C F,Yang J L,Jiang X L.Management of interest rate risk with default risk[J].Journal of Management Sciences in China,2006(2):53-60.
[15]刘艳萍,涂荣,迟国泰.基于信用风险久期免疫的资产负债管理优化模型[J].管理学报,2010(2):278-288.Liu Y P,Tu R,Chi G T.Optimization model of asset-liability portfolio based on credit risk duration immunization of interest rate risk[J].Chinese Journal of Management,2010(2):278-288.
[16]陈荣达,陆金荣.可违约零息债券风险综合度量Monte Carlo方法[J].管理科学学报,2012,15(4):88-98.Chen R D,Lu J R.A Monte Carlo method of integrated risk measurement for defaultable zero-coupon bonds[J].Journal of Management Sciences in China,2012,15(4):88-98.
[17]Drehmann M,Sorensen S,Stringa M.The integrated impact of credit and interest rate risk on banks:A dynamic framework and stress testing application[J].Journal of Banking&Finance,2010,34(4):713-729.
[18]Chen R R,Cheng X,Wu L.Dynamic interactions between interest-rate and credit risk:Theory and evidence on the credit default swap term structure[J].Review of Finance,2013,17(1):403-441.
[19]Duffie D,Singleton K J.Modeling term structures of defaultable bonds[J].Review of Financial Studies,1999,12(4):687-720.
[20]达雷尔·达菲,肯尼思·J.辛格尔顿.信用风险-定价、度量和管理[M].许勤,魏嶷,杜鹃,译.上海:上海财经大学出版社,2009.Duffie D,Singleton K J.Credit risk:Pricing,measurement and management[M].Shanghai:Shanghai University of Finance and Economics Press,2009.
[21]彭非,王伟.生存分析[M].北京:中国人民大学出版社,2004:229-230.Peng F,Wang W.Survival analysis[M].Beijing:China Renmin University Press,2004:229-230.
[22]迟国泰,闫达文.基于VaR控制预留缺口的资产负债管理优化模型[J].管理工程学报,2011,25(3):123-132.Chi G T,Yan D W.Asset and liability management optimal model based on VaR preparation duration gap[J].Journal of Industrial Engineering/Engineering Management,2011,25(3):123-132.
[23]大连银行.大连银行小企业信贷管理系统[DB].大连:大连银行,2013.Dalian Bank.Small business credit system of Dalian Bank[DB].Dalian:Dalian Bank,2013.
[24]迟国泰,张玉玲,王元斌.基于全部资产负债利率风险免疫优化的增量资产组合决策模型[J].管理工程学报,2011(2):161-172.Chi G T,Zhang Y L,Wang Y B.The incremental portfolio decision-making model based on the interest rate risk immune optimizing of total assets and liabilities[J].Journal of Industrial Engineering,2011(2):161-172.