基于信用风险和利率风险的资产组合优化模型研究
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摘要
资产负债管理能力是现代商业银行的基本能力,其核心是价值创造和风险控制。商业银行资产负债组合优化是现代商业银行信贷管理框架中的核心内容,它对于保持银行资产“三性”的最佳组合、优化配置资源、提高银行的生存能力和竞争能力,具有重要的现实意义。
本论文共分五章,第一章绪论阐述了论文的选题依据、相关研究进展、研究方法和研究内容;第二章建立了基于信用风险管理的贷款组合优化模型;第三章探讨基于利率风险管理的资产负债组合优化模型;第四章是基于信用风险久期免疫的资产负债组合优化模型;第五章结论与展望。论文的主要研究成果如下:
(1)建立了基于看跌期权组合值最大化的银行资产优化模型
通过卖出看跌期权的组合价值来客观地反映企业价值影响贷款清偿能力的本质属性,提出了银行债权价值与卖出看跌期权等价原理,建立了基于看跌期权组合价值最大化的银行资产优化模型,在避免银行重大损失的情况下追求收益最大,解决了规避银行巨大贷款风险的重大问题,开辟了资产优化配置研究新思路;通过看跌期权这种银行债权组合价值最大的一个目标函数既反映了贷款收益、又反映了贷款风险。既解决了单一目标不全面反映银行经营目标、又解决了多目标决策时不同目标的权重分配缺乏客观性的问题。
(2)建立了基于风险价值约束的贷款组合效用最大化优化模型
用风险价值VaR来控制风险,根据在贷款组合有效边界上银行效用最大化的目标分配各项贷款,建立了基于风险价值约束的贷款组合效用最大化决策模型。在控制贷款组合风险价值VaR的前提下实现贷款组合效用最大化,改变了现有研究在考虑效用最大时忽略风险控制的问题,解决了在风险控制的前提下实现效用最大的优化问题;通过贷款组合效用最大配给贷款符合贷款优化的目的,体现了资产组合优化是使投资者期望效用最大化的决策这一本质的属性,改变了现有研究大多在主观给定风险或主观给定收益率水平的前提下确定最优贷款组合的现状,消除了贷款分配过程中的主观因素,解决了决策模型与决策目的不相一致的问题。
(3)建立了基于方向久期利率风险免疫的资产负债组合优化模型
提出了方向久期免疫组合优化原理,以方向久期缺口免疫为条件,以控制贷款组合的利率风险为目标,建立了基于方向久期免疫的资产负债组合优化模型。通过不同时期即期收益率对现金流的贴现,以某一特定时段的利率变化量除以全部时段利率变化量的均值作为系数,对反映时间权重的未来现金流再进行加权,科学地反映利率波动对现金流平均回收期的影响。
(4)建立了基于现金流离散度缺口免疫的资产负债组合优化模型
本模型引入现金流离散度对收益率曲线非平行移动带来的利率风险进行免疫,提出了现金流离散度M~A零缺口免疫组合优化原理,建立了基于现金流离散度M~A缺口免疫的银行资产负债组合优化模型。通过现金流离散度的零缺口免疫匹配银行的资产与负债、控制了利率期限结构非平行移动带来的利率风险,避免了传统久期免疫不能控制的利率期限结构非平行移动带来的利率风险的弊端;通过不同时段的远期收益率来贴现资产和负债的现金流、使现金流离散度的计算更加准确,反映了不同时期收益率变化对各期现金流的影响,提高了现金流离散度的计算精度,改变了传统久期免疫用恒定的名义利率贴现现金流的做法。
(5)建立了基于信用风险久期免疫的资产负债组合优化模型
通过运用看跌期权公式建立了贴现率与违约风险的函数关系,构造了信用风险久期免疫条件,建立了基于信用风险久期免疫组合优化模型,规避了利率风险和信用风险对所有者权益的影响。通过看跌期权公式建立了贴现率与违约风险的函数关系,揭示了违约风险对贴现率的影响。反映违约风险的贴现率替代市场基准利率表述信用久期函数,揭示了信用风险对久期的影响。这就改变了现有研究人为的认为久期与信用风险无关的现状。
本文立足金融领域的前沿课题、创建符合银行运作规律的资产负债管理决策理论,为银行资产负债管理创建新理论、建立新模型,促进银行资产负债管理理论体系的完善。
Asset-Liability management is the basic ability of modern commercial banks, the core of which is to create value and control risk. Asset-Liability combinatorial optimization of commercial banks is the core content in the framework of a modern commercial bank management. It is of great realistic significance to maintain the best combination of "three characters" of the bank's assets, optimize allocation of resources, enhance the bank's viability and competitiveness.
This paper is divided into five chapters. The first chapter describes the basis of selection, process, methods and contents of related research in the paper. The second chapter builds the loan portfolio optimization model based on credit risk management. The third chapter discusses the Asset-Liability portfolio optimization model based on the interest rate risk. The fourth chapter discusses optimization model of Asset-Liability portfolio based on credit risk duration immunization of interest rate risk. The fifth Chapter is the Conclusion and Outlook. The main results of the thesis are as follows:
(1) It sets up distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio.
This paper treats the enterprise loan as a loan portfolio and optimize this load portfolio by maximize the portfolio value, thus the loan's time value and inner value can be same reflected and successfully confirm the objective of loan portfolio optimization. It is a pursuit of the biggest gains based on avoiding heavy losses. In order to open up a new thought of assets' optimal allocation and address the major issue of avoid the risk of bank loans, it sets up distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio. Using the portfolio value maximum of bank's assets as objective function, both reflect the double goal of income maximization and risk minimization, enable a more accurate distribution policy of the loan portfolio, and also resolve the overall measurement limitation of single objective function on income and risk.
(2) It sets up optimization model of loan's portfolio utility maximization based on the yield of VaR.
Optimization of asset portfolio is the decision that maximizes the expected utility of investors. This paper controls the risk through Value at Risk (VaR), distributes loans according to the maximization of banks' utility on the efficient boundary of the loan's portfolio, and establishes the decision model for the maximization of the utility of the loan's portfolio based on the restriction of VaR. This paper maximizes the utility of loan's portfolio with the control of its VaR, which can solve the problems of existing studies that the control of risk is neglected while maximal utility is considered, and that the utility can not be optimized under the control of VaR. It optimizes loans to distribute them through the maximization of the utility of loan's portfolio and represents one nature of the Optimization of Asset Portfolio that maximizes the expected utility of investors, changes the situation among most existing studies based on subjective risk and yield, removes the subjective factors in the distribution of loans, and solves the problem between the decision model and purpose.
(3) It sets up optimization model of Asset-Liability portfolio based on directional duration immunization of interest rate risk.
The paper sets up optimization model of asset-liability portfolio based on immunization of interest rate risk by taking directional duration gap for condition, and loan portfolio's interest rate risk controlling for aim. It uses directional duration portfolio optimization condition to control interest rate risk of loan portfolio. Discounting cash-flow by different spot interest rate in different period of time which changes the unreasonable condition, it discounts cash-flow by the nominal rate in current research. It reflects the influence of different spot interest rate in different period of time on the average pay-off period.
(4) It sets up optimization model of Asset-Liability portfolio based on non-parallel shift interest rate risk control.
Introducing M-Absolute to immune the interest rate risk caused by the non-parallel shift of yield curve, this paper establishes the principle and optimization model of Asset-Liability portfolio based on immunization of non-parallel-shift interest rate risk. This model matches the assets and liabilities of commercial bank by M-Absolute zero-gap immunization, which controls the interest rate risk caused by the non-parallel shift of interest term structure. Discounting cash-flow of the assets and liabilities by different forward interest rate, the calculation of the M-Absolute is more accurate, which reflects the various yield point changement, improves the accuracy of the calculation of the M-Absolute and changes the discounted methods that used invariable nominalinterest rate.
(5) It sets up optimization model of Asset-Liability portfolio based on credit risk duration immunization of interest rate risk.
This paper which use the interest rate adjusted by risk premium instead of risk-free rate, sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk, and loan portfolio's interest rate risk controlling for aim. It can avoid loss of owners' equity caused by interest risk and credit risk. Application of put option to establish the function relationship between deflaut risk and discount rate discover effect of deflaut risk on discount rate. The discount rate which reflects deflaut risk is used to express function of credit risk duration. It reflects the influence of deflaut risk on duration. It can change the current paper assumption that deflaut risk not related to duration.
This paper bases on financial field frontier, establishes decision theory and decision methods of Asset-Liability management. It establishes new theory and sets up new models for the eommereial bank, thus results in promoting the perfection of the oretieal system on Asset-Liability management.
本论文共分五章,第一章绪论阐述了论文的选题依据、相关研究进展、研究方法和研究内容;第二章建立了基于信用风险管理的贷款组合优化模型;第三章探讨基于利率风险管理的资产负债组合优化模型;第四章是基于信用风险久期免疫的资产负债组合优化模型;第五章结论与展望。论文的主要研究成果如下:
(1)建立了基于看跌期权组合值最大化的银行资产优化模型
通过卖出看跌期权的组合价值来客观地反映企业价值影响贷款清偿能力的本质属性,提出了银行债权价值与卖出看跌期权等价原理,建立了基于看跌期权组合价值最大化的银行资产优化模型,在避免银行重大损失的情况下追求收益最大,解决了规避银行巨大贷款风险的重大问题,开辟了资产优化配置研究新思路;通过看跌期权这种银行债权组合价值最大的一个目标函数既反映了贷款收益、又反映了贷款风险。既解决了单一目标不全面反映银行经营目标、又解决了多目标决策时不同目标的权重分配缺乏客观性的问题。
(2)建立了基于风险价值约束的贷款组合效用最大化优化模型
用风险价值VaR来控制风险,根据在贷款组合有效边界上银行效用最大化的目标分配各项贷款,建立了基于风险价值约束的贷款组合效用最大化决策模型。在控制贷款组合风险价值VaR的前提下实现贷款组合效用最大化,改变了现有研究在考虑效用最大时忽略风险控制的问题,解决了在风险控制的前提下实现效用最大的优化问题;通过贷款组合效用最大配给贷款符合贷款优化的目的,体现了资产组合优化是使投资者期望效用最大化的决策这一本质的属性,改变了现有研究大多在主观给定风险或主观给定收益率水平的前提下确定最优贷款组合的现状,消除了贷款分配过程中的主观因素,解决了决策模型与决策目的不相一致的问题。
(3)建立了基于方向久期利率风险免疫的资产负债组合优化模型
提出了方向久期免疫组合优化原理,以方向久期缺口免疫为条件,以控制贷款组合的利率风险为目标,建立了基于方向久期免疫的资产负债组合优化模型。通过不同时期即期收益率对现金流的贴现,以某一特定时段的利率变化量除以全部时段利率变化量的均值作为系数,对反映时间权重的未来现金流再进行加权,科学地反映利率波动对现金流平均回收期的影响。
(4)建立了基于现金流离散度缺口免疫的资产负债组合优化模型
本模型引入现金流离散度对收益率曲线非平行移动带来的利率风险进行免疫,提出了现金流离散度M~A零缺口免疫组合优化原理,建立了基于现金流离散度M~A缺口免疫的银行资产负债组合优化模型。通过现金流离散度的零缺口免疫匹配银行的资产与负债、控制了利率期限结构非平行移动带来的利率风险,避免了传统久期免疫不能控制的利率期限结构非平行移动带来的利率风险的弊端;通过不同时段的远期收益率来贴现资产和负债的现金流、使现金流离散度的计算更加准确,反映了不同时期收益率变化对各期现金流的影响,提高了现金流离散度的计算精度,改变了传统久期免疫用恒定的名义利率贴现现金流的做法。
(5)建立了基于信用风险久期免疫的资产负债组合优化模型
通过运用看跌期权公式建立了贴现率与违约风险的函数关系,构造了信用风险久期免疫条件,建立了基于信用风险久期免疫组合优化模型,规避了利率风险和信用风险对所有者权益的影响。通过看跌期权公式建立了贴现率与违约风险的函数关系,揭示了违约风险对贴现率的影响。反映违约风险的贴现率替代市场基准利率表述信用久期函数,揭示了信用风险对久期的影响。这就改变了现有研究人为的认为久期与信用风险无关的现状。
本文立足金融领域的前沿课题、创建符合银行运作规律的资产负债管理决策理论,为银行资产负债管理创建新理论、建立新模型,促进银行资产负债管理理论体系的完善。
Asset-Liability management is the basic ability of modern commercial banks, the core of which is to create value and control risk. Asset-Liability combinatorial optimization of commercial banks is the core content in the framework of a modern commercial bank management. It is of great realistic significance to maintain the best combination of "three characters" of the bank's assets, optimize allocation of resources, enhance the bank's viability and competitiveness.
This paper is divided into five chapters. The first chapter describes the basis of selection, process, methods and contents of related research in the paper. The second chapter builds the loan portfolio optimization model based on credit risk management. The third chapter discusses the Asset-Liability portfolio optimization model based on the interest rate risk. The fourth chapter discusses optimization model of Asset-Liability portfolio based on credit risk duration immunization of interest rate risk. The fifth Chapter is the Conclusion and Outlook. The main results of the thesis are as follows:
(1) It sets up distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio.
This paper treats the enterprise loan as a loan portfolio and optimize this load portfolio by maximize the portfolio value, thus the loan's time value and inner value can be same reflected and successfully confirm the objective of loan portfolio optimization. It is a pursuit of the biggest gains based on avoiding heavy losses. In order to open up a new thought of assets' optimal allocation and address the major issue of avoid the risk of bank loans, it sets up distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio. Using the portfolio value maximum of bank's assets as objective function, both reflect the double goal of income maximization and risk minimization, enable a more accurate distribution policy of the loan portfolio, and also resolve the overall measurement limitation of single objective function on income and risk.
(2) It sets up optimization model of loan's portfolio utility maximization based on the yield of VaR.
Optimization of asset portfolio is the decision that maximizes the expected utility of investors. This paper controls the risk through Value at Risk (VaR), distributes loans according to the maximization of banks' utility on the efficient boundary of the loan's portfolio, and establishes the decision model for the maximization of the utility of the loan's portfolio based on the restriction of VaR. This paper maximizes the utility of loan's portfolio with the control of its VaR, which can solve the problems of existing studies that the control of risk is neglected while maximal utility is considered, and that the utility can not be optimized under the control of VaR. It optimizes loans to distribute them through the maximization of the utility of loan's portfolio and represents one nature of the Optimization of Asset Portfolio that maximizes the expected utility of investors, changes the situation among most existing studies based on subjective risk and yield, removes the subjective factors in the distribution of loans, and solves the problem between the decision model and purpose.
(3) It sets up optimization model of Asset-Liability portfolio based on directional duration immunization of interest rate risk.
The paper sets up optimization model of asset-liability portfolio based on immunization of interest rate risk by taking directional duration gap for condition, and loan portfolio's interest rate risk controlling for aim. It uses directional duration portfolio optimization condition to control interest rate risk of loan portfolio. Discounting cash-flow by different spot interest rate in different period of time which changes the unreasonable condition, it discounts cash-flow by the nominal rate in current research. It reflects the influence of different spot interest rate in different period of time on the average pay-off period.
(4) It sets up optimization model of Asset-Liability portfolio based on non-parallel shift interest rate risk control.
Introducing M-Absolute to immune the interest rate risk caused by the non-parallel shift of yield curve, this paper establishes the principle and optimization model of Asset-Liability portfolio based on immunization of non-parallel-shift interest rate risk. This model matches the assets and liabilities of commercial bank by M-Absolute zero-gap immunization, which controls the interest rate risk caused by the non-parallel shift of interest term structure. Discounting cash-flow of the assets and liabilities by different forward interest rate, the calculation of the M-Absolute is more accurate, which reflects the various yield point changement, improves the accuracy of the calculation of the M-Absolute and changes the discounted methods that used invariable nominalinterest rate.
(5) It sets up optimization model of Asset-Liability portfolio based on credit risk duration immunization of interest rate risk.
This paper which use the interest rate adjusted by risk premium instead of risk-free rate, sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk, and loan portfolio's interest rate risk controlling for aim. It can avoid loss of owners' equity caused by interest risk and credit risk. Application of put option to establish the function relationship between deflaut risk and discount rate discover effect of deflaut risk on discount rate. The discount rate which reflects deflaut risk is used to express function of credit risk duration. It reflects the influence of deflaut risk on duration. It can change the current paper assumption that deflaut risk not related to duration.
This paper bases on financial field frontier, establishes decision theory and decision methods of Asset-Liability management. It establishes new theory and sets up new models for the eommereial bank, thus results in promoting the perfection of the oretieal system on Asset-Liability management.
引文
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