金融机构资产负债管理模型和运用的新发展
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摘要
在20世纪80年代之后,资产负债管理在过去传统理论的基础上实现了新的发展,管理重心也转移到风险管理上来。20世纪90年代以来,经济金融全球化趋势突飞猛进,国际银行业兼并重组风潮迭起,新的金融产品层出不穷,资产负债管理体系进一步完善,资产负债管理也进入了一个崭新阶段。在20世纪90年代,在巴塞尔委员会和美国COSO委员会(Committee of Sponsoring Organization ofthe Treadway Commission,以下简称美国COSO委员会)的大力推动下,全面风险管理获得了巨大的发展,与此同时,资产负债管理突破了传统资产负债管理理论,采用了新的模型和方法来处理金融机构所面临的问题。
现代资产负债管理是一个全新的领域,将其理论发展和实践引入我国,无论是对我国的资产负债管理理论发展,还是对金融机构的实践,都具有重大的现实意义。我国金融学教科书对资产负债管理的介绍都只到传统的资产负债管理理论为止,甚至在很多的研究中也只是将资产负债管理视为利率风险的管理,忽视了现代资产负债管理在20世纪90年代的发展,对现代资产负债管理的发展鲜有说明。
论文选题定于博士二年级的上学期,至今对该论题已研究了两年,时至今日才初成体系,个中艰辛难以言表。
本文系统地介绍了国外现代资产负债管理模型的新发展和实践,然后结合我国的现状分析了我国构建全面风险管理体系、推进现代资产负债管理的前提条件和制度基础,并有针对性提出了政策建议。笔者希望通过本文能够对我国资产负债管理的理论发展和实践起到抛砖引玉的作用。
在第一章,本文对资产负债管理的传统理论进行了回顾。第一章的第二节重点介绍了利率敏感资金缺口模型和持续期缺口模型。资产负债管理是在资产管理、负债管理的基础上产生的,是对两者的进一步发展。利率风险管理是资产负债管理的核心部分。利率敏感资金缺口模型和持续期缺口模型是资产负债管理的最主要利率风险管理模型。
第二章主要从四种分析思路和相应的模型具体地论述了现代资产负债管理的发展。这四种分析思路和相应的模型主要是指改进型均值——方差下行风险模
After 1980s, based on the traditional theory, Asset Liability Management has achieved its breakthrough and also focuses on risk management. Since the 1990s, the tendency of economical globalization has progressed by leaps, the international banking industry has reorganized, the new financial product emerges one after another incessantly, the system of Asset Liability Management is more and more perfect, Asset Liability Management also enters into a new stage. With the impulse of Basel committee and COSO, Enterprise Risk Management (ERM) has achieved greater development. At the same time, the modern theory of Asset Liability Management has gradually formed.Modern Asset Liability Management is a brand-new domain. The introduction of its theory and the practice is very significant for the theoretic development and the practice in China. The financial textbooks in China just introduce the traditional theory of ALM. Even some researches regard Asset Liability Management as risk management of interest rate. Chinese financial industry has ignored the development of ALM in the 1990s. This thesis presents the theoretic development and the practice of ALM in foreign countries, and then analyses the precondition and system of designing Enterprise Risk Management and pushing Asset Liability Management. Finally the thesis gives corresponding measures and suggestion. I hope that this thesis can accelerate the theoretic development and the practice of ALM in China. 'In the first chapter, this article has reviewed the traditional theory of Asset Liability Management. The first section emphasizes Funding gap model and Duration Gap model. Asset Liability Management makes progress based on Asset Management and Liability Management. Risk management of interest rate is the hard core of Asset Liability Management. Funding gap model and Duration Gap model are the main models of interest rate risk management in ALM.In the second chapter, this article discusses the development of ALM from the
perspective of four analytical ideas and modeling methods. These modeling methods are Mean-Variance model, Discrete-Time model, Continuous-Time model and Stochastic Programming model. They are representatives of the theoretic development in ALM.Improved Mean-Variance model and downside-risk measures are based on the Mean-Variance framework of Markowitz (1952). Discrete-Time model overcomes the shortcoming of a single period in Mean-Variance model. Mossin (1968), Samuelson (1969) and Hakansson (1970) study the multi-period consumption-investment problem. In 1999, Berkelaar and Kouwenberg introduces a discrete-time retirement saving model and analyses the multi-period problem in ALMContinuous-Time model is based on Continuous-Time framework of Merton. In Continuous-Time framework, Brennan, Schwartz and Lagnado, Balduzzi and Lynch, Barberis and Xia research asset allocation, optimal investment strategy and continuous-time investment models.Since stochastic programming model can support the decision process under uncertainty, it is more and more used in research and the practice in the financial industry. Foreign researchers study the application of multi-period stochastic programming model in financial institutions. They include Bradley and Crane, Kusy and Ziemba, Mulvey and Vladimirou, Carino et al. Hiller and Eckstein, Zenios, Golub et al. Kusy and Ziemba employ a stochastic linear programming with simple recourse for Vancouver City Savings Credit Union. This model is a representative model. Russell-Yasuda Kasai designed by Carino et al is another milestone.In the second chapter, the fifth section comments on the theoretic development of ALM. This section points out advantages and disadvantages of four modeling methods. Finally this section presents the research emphases and the development of ALM in the future.In the third chapter, the thesis presents the practice of ALM in commercial banks. Kusy and Ziemba employ a stochastic linear programming with simple recourse to simulate ALM problem in commercial banks. Their model is treated as a milestone of
ALM model in commercial banks. The second section presents the application of Kusy and Ziemba' model in Vancouver City Savings Credit Union. The second section discussed the application of SLPSR in Turkish banking in 1990s.The forth chapter presents the application of ALM model in other institutions. Russell-Yasuda Kasai designed by Carino et al is another milestone after Kusy and Ziemba' model. The first section discusses the application of Russell-Yasuda Kasai in Yasuda insurance company. Based on ALM of pension fund in the Netherlands, the second discusses the application of ALM model in pension fund.In the fifth chapter, from the perspective of Enterprise Risk Management, this article has presented the relation between Asset Liability Management and Enterprise Risk Management. From the perspective of the theoretic development of Risk Management, the first section presents four stages: Asset Management pattern, Liability Management pattern, Asset Liability Management pattern and Enterprise Risk Management. The second section discusses the background and definition of Enterprise Risk Management, and then presents the definition, management framework and indexes. The third section presents the background, definition of ALM and the relation with ALM and ERM. This thesis considers that ERM provides the platform and framework for ALM, while ALM is the strategy and process of risk management in ERM.The sixth chapter analyses the reality in China, and presents the possibility and the development of modern ALM in China. In this chapter, the thesis analyses and compares Asset Liability Management and Asset Liability proportion Management. Then the thesis analyses the precondition and institutional foundation, and then gives corresponding measures and suggestion of designing ERM and pushing ALM in China.
现代资产负债管理是一个全新的领域,将其理论发展和实践引入我国,无论是对我国的资产负债管理理论发展,还是对金融机构的实践,都具有重大的现实意义。我国金融学教科书对资产负债管理的介绍都只到传统的资产负债管理理论为止,甚至在很多的研究中也只是将资产负债管理视为利率风险的管理,忽视了现代资产负债管理在20世纪90年代的发展,对现代资产负债管理的发展鲜有说明。
论文选题定于博士二年级的上学期,至今对该论题已研究了两年,时至今日才初成体系,个中艰辛难以言表。
本文系统地介绍了国外现代资产负债管理模型的新发展和实践,然后结合我国的现状分析了我国构建全面风险管理体系、推进现代资产负债管理的前提条件和制度基础,并有针对性提出了政策建议。笔者希望通过本文能够对我国资产负债管理的理论发展和实践起到抛砖引玉的作用。
在第一章,本文对资产负债管理的传统理论进行了回顾。第一章的第二节重点介绍了利率敏感资金缺口模型和持续期缺口模型。资产负债管理是在资产管理、负债管理的基础上产生的,是对两者的进一步发展。利率风险管理是资产负债管理的核心部分。利率敏感资金缺口模型和持续期缺口模型是资产负债管理的最主要利率风险管理模型。
第二章主要从四种分析思路和相应的模型具体地论述了现代资产负债管理的发展。这四种分析思路和相应的模型主要是指改进型均值——方差下行风险模
After 1980s, based on the traditional theory, Asset Liability Management has achieved its breakthrough and also focuses on risk management. Since the 1990s, the tendency of economical globalization has progressed by leaps, the international banking industry has reorganized, the new financial product emerges one after another incessantly, the system of Asset Liability Management is more and more perfect, Asset Liability Management also enters into a new stage. With the impulse of Basel committee and COSO, Enterprise Risk Management (ERM) has achieved greater development. At the same time, the modern theory of Asset Liability Management has gradually formed.Modern Asset Liability Management is a brand-new domain. The introduction of its theory and the practice is very significant for the theoretic development and the practice in China. The financial textbooks in China just introduce the traditional theory of ALM. Even some researches regard Asset Liability Management as risk management of interest rate. Chinese financial industry has ignored the development of ALM in the 1990s. This thesis presents the theoretic development and the practice of ALM in foreign countries, and then analyses the precondition and system of designing Enterprise Risk Management and pushing Asset Liability Management. Finally the thesis gives corresponding measures and suggestion. I hope that this thesis can accelerate the theoretic development and the practice of ALM in China. 'In the first chapter, this article has reviewed the traditional theory of Asset Liability Management. The first section emphasizes Funding gap model and Duration Gap model. Asset Liability Management makes progress based on Asset Management and Liability Management. Risk management of interest rate is the hard core of Asset Liability Management. Funding gap model and Duration Gap model are the main models of interest rate risk management in ALM.In the second chapter, this article discusses the development of ALM from the
perspective of four analytical ideas and modeling methods. These modeling methods are Mean-Variance model, Discrete-Time model, Continuous-Time model and Stochastic Programming model. They are representatives of the theoretic development in ALM.Improved Mean-Variance model and downside-risk measures are based on the Mean-Variance framework of Markowitz (1952). Discrete-Time model overcomes the shortcoming of a single period in Mean-Variance model. Mossin (1968), Samuelson (1969) and Hakansson (1970) study the multi-period consumption-investment problem. In 1999, Berkelaar and Kouwenberg introduces a discrete-time retirement saving model and analyses the multi-period problem in ALMContinuous-Time model is based on Continuous-Time framework of Merton. In Continuous-Time framework, Brennan, Schwartz and Lagnado, Balduzzi and Lynch, Barberis and Xia research asset allocation, optimal investment strategy and continuous-time investment models.Since stochastic programming model can support the decision process under uncertainty, it is more and more used in research and the practice in the financial industry. Foreign researchers study the application of multi-period stochastic programming model in financial institutions. They include Bradley and Crane, Kusy and Ziemba, Mulvey and Vladimirou, Carino et al. Hiller and Eckstein, Zenios, Golub et al. Kusy and Ziemba employ a stochastic linear programming with simple recourse for Vancouver City Savings Credit Union. This model is a representative model. Russell-Yasuda Kasai designed by Carino et al is another milestone.In the second chapter, the fifth section comments on the theoretic development of ALM. This section points out advantages and disadvantages of four modeling methods. Finally this section presents the research emphases and the development of ALM in the future.In the third chapter, the thesis presents the practice of ALM in commercial banks. Kusy and Ziemba employ a stochastic linear programming with simple recourse to simulate ALM problem in commercial banks. Their model is treated as a milestone of
ALM model in commercial banks. The second section presents the application of Kusy and Ziemba' model in Vancouver City Savings Credit Union. The second section discussed the application of SLPSR in Turkish banking in 1990s.The forth chapter presents the application of ALM model in other institutions. Russell-Yasuda Kasai designed by Carino et al is another milestone after Kusy and Ziemba' model. The first section discusses the application of Russell-Yasuda Kasai in Yasuda insurance company. Based on ALM of pension fund in the Netherlands, the second discusses the application of ALM model in pension fund.In the fifth chapter, from the perspective of Enterprise Risk Management, this article has presented the relation between Asset Liability Management and Enterprise Risk Management. From the perspective of the theoretic development of Risk Management, the first section presents four stages: Asset Management pattern, Liability Management pattern, Asset Liability Management pattern and Enterprise Risk Management. The second section discusses the background and definition of Enterprise Risk Management, and then presents the definition, management framework and indexes. The third section presents the background, definition of ALM and the relation with ALM and ERM. This thesis considers that ERM provides the platform and framework for ALM, while ALM is the strategy and process of risk management in ERM.The sixth chapter analyses the reality in China, and presents the possibility and the development of modern ALM in China. In this chapter, the thesis analyses and compares Asset Liability Management and Asset Liability proportion Management. Then the thesis analyses the precondition and institutional foundation, and then gives corresponding measures and suggestion of designing ERM and pushing ALM in China.
引文
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<20> 晏正君:《利率市场化与银行资产负债管理》,《哈尔滨金融高等专科学校学报》,2001年第3期
<21> 姚澜:《浅析持续期和风险免疫技术在银行利率风险管理中的应用》,《辽宁大学学报(哲学社会科学版)》,2002年第3期
<22> 严超喜、程希骏:《商业银行缺口分析与管理研究》,《价值工程》,2002年第2期
<23> 龙成会:《商业银行资产负债的动态匹配管理》,《财经理论与实践》,2002年第2期
<24> 程迎杰、秦成林:《商业银行资产负债管理的随机规划模型》,《上海大学学报(自然科学版)》,2000年第6期
<25> 赵天荣:《商业银行资产负债管理中的风险免疫策略》,《上海金融》,2000年第9期
<26> 曹志鹏、史俊林:《商业银行资产负债缺口管理分析》,《新金融》,2004年第6期
<27> 吴茂林:《试论我国商业银行资产负债管理模式的运行及其完善》,《财贸研究》,2000年第3期
<28> 戴振旗:《我国商业银行资产负债管理的制度分析》,《北方经贸》,2003年第1期
<29> 隆宗佐:《我国商业银行资产负债管理中存在的问题与对策》,《湖南商学院学报》,2002年第2期
<30> 李志刚、孟元、景欣:《西方商业银行的利率风险管理》,《现代商业银行》,2003年第12期
<31> 秦启岭:《西方银行业风险管理的最新发展与借鉴》,《当代财经》,1998年第1期
<32> 唐凌云:《银行业流动性风险的分析与管理》,《中南财经大学学报》,2000年第2期
<33> 黄天国:《银行资产负债管理的中外比较》,《计划与市场探索》,2003年第3期
<34> 郑园园、马进:《中西方银行资产负债管理比较》,《计划与市场探索》,2003年第10期
<35> 慕继丰:《复杂组织的全面风险管理初探》,《中国管理科学》,2000年第11期
<36> 赵奇志:《构筑商业银行全面风险管理新模式》,《山东审计》,2003年第5期
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<2> 李崇淮、黄宪、江春:《西方货币银行学》,中国金融出版社,1998年第1版
<3> 顾娟、张永东、邹功达等译:《全球资产与负债管理建模》,经济科学出版社,2003年
<4> 唐旭、王丹等译:《商业银行管理》,经济科学出版社,1999年
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<18> 李苇莎:《利率市场化趋势下商业银行资产负债管理的应对之策》,《上海金融》,2002年第10期
<19> 钟锦:《利率市场化与商业银行利率风险管理》,《当代经济科学》,2003年第6期
<20> 晏正君:《利率市场化与银行资产负债管理》,《哈尔滨金融高等专科学校学报》,2001年第3期
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<22> 严超喜、程希骏:《商业银行缺口分析与管理研究》,《价值工程》,2002年第2期
<23> 龙成会:《商业银行资产负债的动态匹配管理》,《财经理论与实践》,2002年第2期
<24> 程迎杰、秦成林:《商业银行资产负债管理的随机规划模型》,《上海大学学报(自然科学版)》,2000年第6期
<25> 赵天荣:《商业银行资产负债管理中的风险免疫策略》,《上海金融》,2000年第9期
<26> 曹志鹏、史俊林:《商业银行资产负债缺口管理分析》,《新金融》,2004年第6期
<27> 吴茂林:《试论我国商业银行资产负债管理模式的运行及其完善》,《财贸研究》,2000年第3期
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<30> 李志刚、孟元、景欣:《西方商业银行的利率风险管理》,《现代商业银行》,2003年第12期
<31> 秦启岭:《西方银行业风险管理的最新发展与借鉴》,《当代财经》,1998年第1期
<32> 唐凌云:《银行业流动性风险的分析与管理》,《中南财经大学学报》,2000年第2期
<33> 黄天国:《银行资产负债管理的中外比较》,《计划与市场探索》,2003年第3期
<34> 郑园园、马进:《中西方银行资产负债管理比较》,《计划与市场探索》,2003年第10期
<35> 慕继丰:《复杂组织的全面风险管理初探》,《中国管理科学》,2000年第11期
<36> 赵奇志:《构筑商业银行全面风险管理新模式》,《山东审计》,2003年第5期