基于ES-TV的贷款承诺极端风险测度模型
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摘要
在BaselⅢ的风险计量新要求及中小企业融资成本高、违约风险大等背景下,贷款承诺极端风险的测度成为银行未来资产管理的重点之一.基于期权理论,首先给出了浮动利率下的贷款承诺定价公式;其次通过引入DGN(Delta-Gamma-Normal)模型,刻画了贷款承诺价值变动的分布形态;继而通过修正尾部波动率,并利用期望短缺原理,构建了衡量贷款承诺极端风险的ES-TV测度模型.该模型兼顾极端损益及其波动性,能更全面反映极端风险.最后对X银行贷款承诺组合管理进行了实证分析.
Based on the new risk measure requirements of the Basel III and the realities of the difficulties in small-medium enterprises' financing as well as the increasing default risk,the extreme risk measure of loan commitments will be one of the key fields in future asset management of the banks.Based on the option theory,firstly,this paper provides a loan commitment pricing formula under the floating-rate.Secondly,by introducing the DGN(Delta-Gamma-Normal) model,the distribution patterns of changes in value of loan commitments are characterized.Then,by modifying tail volatility with the theory of expected shortage,an ES-TV measure model is constructed to scale the extreme risk of loan commitments.This model depicts both the scale and volatility of the extreme loss,and hence it can reflect extreme risk more completely.Finally this paper makes an empirical analysis on the loan commitment portfolio management of X bank.
Based on the new risk measure requirements of the Basel III and the realities of the difficulties in small-medium enterprises' financing as well as the increasing default risk,the extreme risk measure of loan commitments will be one of the key fields in future asset management of the banks.Based on the option theory,firstly,this paper provides a loan commitment pricing formula under the floating-rate.Secondly,by introducing the DGN(Delta-Gamma-Normal) model,the distribution patterns of changes in value of loan commitments are characterized.Then,by modifying tail volatility with the theory of expected shortage,an ES-TV measure model is constructed to scale the extreme risk of loan commitments.This model depicts both the scale and volatility of the extreme loss,and hence it can reflect extreme risk more completely.Finally this paper makes an empirical analysis on the loan commitment portfolio management of X bank.
引文
[1]Stanhouse B,Schwarzkopf A L,Ingram M.A computational approach to pricing a bank credit line[J].Journal of Banking&Finance,2011,35(6):1341-1351.
[2]Sreedhar T B,Sandeep D,Anthony S,et al.Lending relationships and loan contract terms[J].The Review of Financial Studies,2011,24(4):1141-1203.
[3]Hau A.Pricing of loan commitments for facilitating stochastic liquidity needs[J].Journal of Financial Services Research,2011,39(1-2):71-94.
[4]武巧珍,刘扭霞.中国中小企业融资:理论,借鉴、融资体系的建立[M].北京:中国社会科学出版社,2007.Wu Qiaozhen,Liu Niuxia.Chinese small and medium-sized enterprise financing:Theories,reference and the establish of financing system[M].Beijing:China Social Sciences Press,2007.
[5]Chateau J P.Beyond Basel-2 simplified standardized approach:Credit risk valuation of short-term loan commitments[J].International Review of Financial Analysis,2007,16(5):1-21.
[6]Thakor A.Toward theory of bank loan commitments[J].Journal of Banking and Finance,1982(6):55-64.
[7]Ergungor O E.Theories of bank loan commitments[J].Economic Review-Federal Reserve Bank of Cleveland,2001(3):2-19.
[8]Chateau J P,Wu J.Basel-2 capital adequacy:Computing the"fair"capital charge for loan commitment"true"credit risk[J].International Review of Financial Analysis,2007(16):1-21.
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[10]Ho T S Y,Saunders A.Fixed-rate loan commitments,take-down risk,and the dynamics of hedging with futures[J].Journal of Financial and Quantitative Analysis,1983(18):499-516.
[11]Kutner G K,Seifert J A.The valuation of mortgage loan commitments using option pricing estimates[J].The Journal of Real Estate Research,1989(7):13-21.
[12]白桂林.贷款承诺的风险与定价[D].武汉:华中科技大学,2008.Bai Guilin.The researches for the risk and pricing of loan commitment[D].Wuhan:Huazhong University of Science&Technology,2008.
[13]Markowitz H.Portfolio selection[J].The Journal of Finance,1952(7):76-81.
[14]Sharpe W.A simplified model for portfolio analysis[J].Management Science,1963(9):277-293.
[15]Baumol W J.An expected gain-confidence limit criterion for portfolio selection[J].Management Science,1963,10(1):174-182.
[16]Bhatia M.Credit metrics[R].New York:JP Morgan,1997.
[17]周春阳,吴冲锋.基于GJR-EVT-cOPuLA和下偏矩的最优资产组合分析[J].系统管理学报,2011(3):322-326.Zhou Chunyang,Wu Chongfeng.A portfolio selection model based on GJR-EVT-COPULA and LPM[J].Journal of Systems&Management,2011(3):322-326.
[18]Artzner P,Delbaen F,Eber J M.Thinking coherently[J].Risk,1999,10(11):68-71.
[19]Acerbi C,Tasche D.On the coherence of expected shortfall[J].Journal of Banking&Finance,2002(2):1487-1503.
[20]宫庆彬.基于尾部风险约束下的股指期货套期保值研究[D].杭州:浙江工商大学,2010.Gong Qingbin.Stock index futures hedging under tail risk[D].Hangzhou:Zhejiang Gongshang University,2010.
[21]Egami M.A framework for the study of expansion options,loan commitments and agency costs[J].Journal of Corporate Finance,2009,15(3):345-357.
[22]Hull J.Options,futures and other derivatives[M].Prentice-Hall,2009.
[23]Albert S,Bentler P M.Ensuring positiveness of the scaled difference Chi-square test statistic[J].Psychometrika,2010,75(2):243-248.
[24]George E I,Strawderman W E.A Tribute to Charles Stein[J].Statistical Science,2012,27(1):1-2.
1.在宫庆彬~([20]中,尾部波动率表达式为TV_α=E((L-ES_α)~2|L>VaR_α),其误将波动率视同方差,而事实上,波动率应为标准差,故本文将该式修正为TVα=(E((L-ES_α)~2|L>VaR_α)~(1/2).
[2]Sreedhar T B,Sandeep D,Anthony S,et al.Lending relationships and loan contract terms[J].The Review of Financial Studies,2011,24(4):1141-1203.
[3]Hau A.Pricing of loan commitments for facilitating stochastic liquidity needs[J].Journal of Financial Services Research,2011,39(1-2):71-94.
[4]武巧珍,刘扭霞.中国中小企业融资:理论,借鉴、融资体系的建立[M].北京:中国社会科学出版社,2007.Wu Qiaozhen,Liu Niuxia.Chinese small and medium-sized enterprise financing:Theories,reference and the establish of financing system[M].Beijing:China Social Sciences Press,2007.
[5]Chateau J P.Beyond Basel-2 simplified standardized approach:Credit risk valuation of short-term loan commitments[J].International Review of Financial Analysis,2007,16(5):1-21.
[6]Thakor A.Toward theory of bank loan commitments[J].Journal of Banking and Finance,1982(6):55-64.
[7]Ergungor O E.Theories of bank loan commitments[J].Economic Review-Federal Reserve Bank of Cleveland,2001(3):2-19.
[8]Chateau J P,Wu J.Basel-2 capital adequacy:Computing the"fair"capital charge for loan commitment"true"credit risk[J].International Review of Financial Analysis,2007(16):1-21.
[9]Thakor A,Hong H,Greenbaum S.Bank loan commitments and interest rate volatility[J].Journal of Banking and Finance,1981(5):497-510.
[10]Ho T S Y,Saunders A.Fixed-rate loan commitments,take-down risk,and the dynamics of hedging with futures[J].Journal of Financial and Quantitative Analysis,1983(18):499-516.
[11]Kutner G K,Seifert J A.The valuation of mortgage loan commitments using option pricing estimates[J].The Journal of Real Estate Research,1989(7):13-21.
[12]白桂林.贷款承诺的风险与定价[D].武汉:华中科技大学,2008.Bai Guilin.The researches for the risk and pricing of loan commitment[D].Wuhan:Huazhong University of Science&Technology,2008.
[13]Markowitz H.Portfolio selection[J].The Journal of Finance,1952(7):76-81.
[14]Sharpe W.A simplified model for portfolio analysis[J].Management Science,1963(9):277-293.
[15]Baumol W J.An expected gain-confidence limit criterion for portfolio selection[J].Management Science,1963,10(1):174-182.
[16]Bhatia M.Credit metrics[R].New York:JP Morgan,1997.
[17]周春阳,吴冲锋.基于GJR-EVT-cOPuLA和下偏矩的最优资产组合分析[J].系统管理学报,2011(3):322-326.Zhou Chunyang,Wu Chongfeng.A portfolio selection model based on GJR-EVT-COPULA and LPM[J].Journal of Systems&Management,2011(3):322-326.
[18]Artzner P,Delbaen F,Eber J M.Thinking coherently[J].Risk,1999,10(11):68-71.
[19]Acerbi C,Tasche D.On the coherence of expected shortfall[J].Journal of Banking&Finance,2002(2):1487-1503.
[20]宫庆彬.基于尾部风险约束下的股指期货套期保值研究[D].杭州:浙江工商大学,2010.Gong Qingbin.Stock index futures hedging under tail risk[D].Hangzhou:Zhejiang Gongshang University,2010.
[21]Egami M.A framework for the study of expansion options,loan commitments and agency costs[J].Journal of Corporate Finance,2009,15(3):345-357.
[22]Hull J.Options,futures and other derivatives[M].Prentice-Hall,2009.
[23]Albert S,Bentler P M.Ensuring positiveness of the scaled difference Chi-square test statistic[J].Psychometrika,2010,75(2):243-248.
[24]George E I,Strawderman W E.A Tribute to Charles Stein[J].Statistical Science,2012,27(1):1-2.
1.在宫庆彬~([20]中,尾部波动率表达式为TV_α=E((L-ES_α)~2|L>VaR_α),其误将波动率视同方差,而事实上,波动率应为标准差,故本文将该式修正为TVα=(E((L-ES_α)~2|L>VaR_α)~(1/2).