利率风险衡量与管理以及在我国的应用状况研究
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摘要
自20世纪70年代以来,随着Bretton Woods体系的崩溃、放松管制的实施、金融市场自由化浪潮的兴起,固定收入证券市场的波动性加剧,利率风险成为国际金融机构防范的主要风险之一。在这种背景下,对利率风险进行测量与管理具有重要的理论意义和实践价值。为此,本论文在深入讨论利率风险衡量及管理的历史演变、应用和局限性以及改进后,努力致力于在中国特殊的货币政策和利率管制环境下,探讨各种利率风险衡量方法的选择和管理策略,探索我国金融机构的利率风险管理。全文共分为5个部分:
一、绪论。主要介绍了本问题的理论意义以及实际意义,同时相应的提出了本文研究的主题及选题的意义,并对进行利率风险研究的相关文献进行了综述。
二、利率风险的衡量。该部分详细阐述了目前金融机构常用的利率风险衡量工具。
三、讨论了度量利率风险暴露的主要方法——久期的运用和局限性,并研究针对其局限性如何做出改进,并提出了利率期限非平行移动情况下的风险对冲策略和模型。
四、讨论了VaR模型在度量和管理利率风险中的应用,从考虑债券或组合对利率变化和预期收益率波动性的价格敏感性出发,引入风险价值(VaR)方法,建立债券组合的VaR模型以度量利率风险。
五、考察我国金融机构如何度量和管理它们对利率变动的风险暴露。度量和管理利率变动对现金流与公司价值影响的技术各不相同,并且通常用于不同类型的机构。本文将我国金融机构分为商业银行和非银行金融机构,并分别予以讨论,进行了案例分析。
Since the early seventies, the breakdown of the Bretton Woods Agreement, coupled with a liberalization of the financial markets and the inflation and oil crisis of the same time, led to increased volatility of interest rates of fixed-income securities. The international financial institutions witnessed operational plight stemming from interest rate risk. Under this background, the significance of the measurement and management of interest rate risk both in theory and practice is distinct for financial institutions. After a discussion on the history, application and improvement of the measurement and management of interest rate risk, this paper is just motivated by the outstanding problems existent in the measurement of interest rate risk management of financial institutions and its application in local market.
The essay performed the demonstration and analysis from the five aspects:
1. Foreword. The paper first analyzed the problem both in theory and practice. Besides, the introduction outlines the main subjects of interest rate risk and provides an overview of relevant literatures on interest rates studies.
2. The measurements of interest rate risk. This part expounds the measurements of interest-rate risk used in financial institutions commonly.
3. This part introduced the application of duration, an important measurement of interest rate risk, and its scarcities. Thus, the amelioration is given in the paper. Besides, this part also established the risk hedging strategy under the nonparallel-shift yield curve.
4.For this part, Value at Risk(VaR) model in the measurement and management of interest rate risk is proposed. And there is an description about the concepts of key rate duration and key rate convexity.
5.Different methods of interest rate risk management should be applied according to different financial institutions. This part tried to find the proper measurement and management of interest rate risk for the financial institutions in China during the transition period of interest rate control. And two case studies are demonstrated in practice.
一、绪论。主要介绍了本问题的理论意义以及实际意义,同时相应的提出了本文研究的主题及选题的意义,并对进行利率风险研究的相关文献进行了综述。
二、利率风险的衡量。该部分详细阐述了目前金融机构常用的利率风险衡量工具。
三、讨论了度量利率风险暴露的主要方法——久期的运用和局限性,并研究针对其局限性如何做出改进,并提出了利率期限非平行移动情况下的风险对冲策略和模型。
四、讨论了VaR模型在度量和管理利率风险中的应用,从考虑债券或组合对利率变化和预期收益率波动性的价格敏感性出发,引入风险价值(VaR)方法,建立债券组合的VaR模型以度量利率风险。
五、考察我国金融机构如何度量和管理它们对利率变动的风险暴露。度量和管理利率变动对现金流与公司价值影响的技术各不相同,并且通常用于不同类型的机构。本文将我国金融机构分为商业银行和非银行金融机构,并分别予以讨论,进行了案例分析。
Since the early seventies, the breakdown of the Bretton Woods Agreement, coupled with a liberalization of the financial markets and the inflation and oil crisis of the same time, led to increased volatility of interest rates of fixed-income securities. The international financial institutions witnessed operational plight stemming from interest rate risk. Under this background, the significance of the measurement and management of interest rate risk both in theory and practice is distinct for financial institutions. After a discussion on the history, application and improvement of the measurement and management of interest rate risk, this paper is just motivated by the outstanding problems existent in the measurement of interest rate risk management of financial institutions and its application in local market.
The essay performed the demonstration and analysis from the five aspects:
1. Foreword. The paper first analyzed the problem both in theory and practice. Besides, the introduction outlines the main subjects of interest rate risk and provides an overview of relevant literatures on interest rates studies.
2. The measurements of interest rate risk. This part expounds the measurements of interest-rate risk used in financial institutions commonly.
3. This part introduced the application of duration, an important measurement of interest rate risk, and its scarcities. Thus, the amelioration is given in the paper. Besides, this part also established the risk hedging strategy under the nonparallel-shift yield curve.
4.For this part, Value at Risk(VaR) model in the measurement and management of interest rate risk is proposed. And there is an description about the concepts of key rate duration and key rate convexity.
5.Different methods of interest rate risk management should be applied according to different financial institutions. This part tried to find the proper measurement and management of interest rate risk for the financial institutions in China during the transition period of interest rate control. And two case studies are demonstrated in practice.
引文
[1]黄建峰,利率投资,北京:机械工业出版社,2002,13-15
[2]李朝明,市场利率及其风险控制研究,郑州:郑州大学出版社,2002,64-67
[3]孟龙,杨柳,巴塞尔委员会“利率风险管理原则”述要(上),中国金融,2003,12:11-13
[4]孟龙,杨柳,巴塞尔委员会“利率风险管理原则”述要(下),中国金融,2003,12:20-22
[5]王益,资本市场,北京:经济科学出版社,2002,13-15
[6]Frederic Macaulay, Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the U.S. Since 1856
[7]叶永刚,固定收入证券概论,武汉:武汉大学出版社,2001,166-180
[8]埃里克.布里斯等,史树中等译,期权、期货和特种衍生证券:理论、应用和实践,北京:机械工业出版社,2002,233-256
[9] Hull, J. C., Options, Futures and other Derivatives, Prentice-Hall, 1997,305-319
[10]Frank J. Fabozzi, Shrikant Ramamurthy, Mark Pitts, “Controlling Interest Rate Risk with Futures and Options”, Frank J. Fabozzi(ed.), Professional Perspectives on Fixed Income Portfolio Management: Volume I
[11]Fama, E. F. and French, K., Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 1993,11:34-46
[12] Bruce Tuckman, Fixed Income Securities, New York: John Wiley & Sons,Inc.,1995,67-89
[13]安东尼.G.科恩,罗伯特.A.克兰等编著,唐旭等译,利率风险的控制与管理,北京:经济科学出版社,1999,439~456
[14]洛仑兹.格利茨,唐旭等译,金融工程学,北京:经济科学出版社,1998,187-194
[15]程希俊、徐培新,债券的保护型投资策略的随机过程分析,运筹与管理,1998(4):35-37
[16]程希俊、马淑雷,利率为多元随机过程下债券对利率风险的规避问题,预测,1999(3):47-48
[17]薛一飞、张维、刘豹,我国债券投资中一种利率风险最小化模型的分析,系统工程理论方法应用,1999,1:1-7
[18]范辛亭,用久期-凸度方法预测企业可转换债券的利率风险,预测,2000(2):68-70
[19]张艾丽,利率免疫研究:[硕士学位论文],吉林大学,2000
[20]Cox, John, Jonathan Ingersoll, and Stephen Ross, The Relation Between Forward Prices and Futures and Future Prices, Journal of FinancialEconomics 1981, 9 (4): 321-346
[21]W. F. Sharpe, G. J. Alexander & J. V. Bailey, Investment, Prentice Hall Inc., 1995,342-363
[22]弗兰克.J.法博齐,骆玉鼎,高玉泽等译,债券组合管理,上海:上海财经大学出版社,2004,533~543
[23]I.A.Cooper.Assetvalues,interest-rate changes, and duration,J.Finan.Quant.Anal,1997,12(5):701-723
[24]李奥奈尔.马特里尼, 固定收益证券,北京:机械工业出版社,2002,152~156
[25]Lacey,N., Nawhalka,S., Convexity,risk and returns, Journal of Fixed Income,1993.3(3):72~79
[26]Pu Gong,Xubiao He.A risk hedging strategy under the nonparallel-shift yield curve, Journal of Fixed Income, 2005, 6:450-462
[27]Longstaff,F.,and E.Schwartz,Interest Rate Volatility and the Term Strctrure:A Two-Factor General Equilibrium Model, Journal of Finance,1992(9):1259~1282
[28]Jian Chen, Micheal C.Fu, Hedging beyond duration and convexity, Working papper,2002
[29]J.R.Barber,M.L.Copper, A Minimax Risk Strategy for Portfolio Immunization,Ins.Math.Econ.1998(23):13~177
[30]R.R.Reitano,Non-parallel yield curve shifts and stochastic immunization,J.Portfol.Manage.Winter.1996:71~78
[31]王春峰,万海辉,张维,金融市场风险测量模型——VaR,系统工程学报,2000.15(1):74~75
[32]G.Kaplanski,K.Yoram, VaR risk measures versus traditional risk measures-an analysis and survey,J.risk,2002.4(3):1~34
[33]J.Berkowitz, How accurate are value-at-risk models at commercial banks, Working Paper,www.gloriamundi.org,2002
[34]贺国生,栗红宇,商业银行利率风险度量的历史演变及现实启示,金融理论与实践,2005(1):73~75
[35]张金鳌,二十一世纪商业银行资产负债管理,北京:中国金融出版社,2002,92-100
[36]乔治.H.汉普尔,多纳德.G.辛曼森,银行管理——教程与案例,北京:中国人民大学出版社,2002,103-111
[37]武剑,利率市场化进程中的利率风险管理,财经科学,2003(2):P58-63
[38]米鸿军,邱箢华,基于主成分分析的利率风险因素实证研究,企业经济,2004(12):149~150
[39]倪叠玖,中国利率风险结构分析,财贸经济,2004(11):31~34
[40]姚长辉,梁越军,我国国债收益率曲线的实证研究,金融研究,1998(8):12~18
[41]朱世武,基于 SAS 系统的金融计算,北京:清华大学出版社,2004,299-312
[42]中国债券信息网,http://www.chinabond.com.cn/
[43]呈希骏,武义青,徐基新,利率波动下债券防护型投资策略分析,数量经济技术经济研究,1997(5):56~58
[2]李朝明,市场利率及其风险控制研究,郑州:郑州大学出版社,2002,64-67
[3]孟龙,杨柳,巴塞尔委员会“利率风险管理原则”述要(上),中国金融,2003,12:11-13
[4]孟龙,杨柳,巴塞尔委员会“利率风险管理原则”述要(下),中国金融,2003,12:20-22
[5]王益,资本市场,北京:经济科学出版社,2002,13-15
[6]Frederic Macaulay, Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields, and Stock Prices in the U.S. Since 1856
[7]叶永刚,固定收入证券概论,武汉:武汉大学出版社,2001,166-180
[8]埃里克.布里斯等,史树中等译,期权、期货和特种衍生证券:理论、应用和实践,北京:机械工业出版社,2002,233-256
[9] Hull, J. C., Options, Futures and other Derivatives, Prentice-Hall, 1997,305-319
[10]Frank J. Fabozzi, Shrikant Ramamurthy, Mark Pitts, “Controlling Interest Rate Risk with Futures and Options”, Frank J. Fabozzi(ed.), Professional Perspectives on Fixed Income Portfolio Management: Volume I
[11]Fama, E. F. and French, K., Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 1993,11:34-46
[12] Bruce Tuckman, Fixed Income Securities, New York: John Wiley & Sons,Inc.,1995,67-89
[13]安东尼.G.科恩,罗伯特.A.克兰等编著,唐旭等译,利率风险的控制与管理,北京:经济科学出版社,1999,439~456
[14]洛仑兹.格利茨,唐旭等译,金融工程学,北京:经济科学出版社,1998,187-194
[15]程希俊、徐培新,债券的保护型投资策略的随机过程分析,运筹与管理,1998(4):35-37
[16]程希俊、马淑雷,利率为多元随机过程下债券对利率风险的规避问题,预测,1999(3):47-48
[17]薛一飞、张维、刘豹,我国债券投资中一种利率风险最小化模型的分析,系统工程理论方法应用,1999,1:1-7
[18]范辛亭,用久期-凸度方法预测企业可转换债券的利率风险,预测,2000(2):68-70
[19]张艾丽,利率免疫研究:[硕士学位论文],吉林大学,2000
[20]Cox, John, Jonathan Ingersoll, and Stephen Ross, The Relation Between Forward Prices and Futures and Future Prices, Journal of FinancialEconomics 1981, 9 (4): 321-346
[21]W. F. Sharpe, G. J. Alexander & J. V. Bailey, Investment, Prentice Hall Inc., 1995,342-363
[22]弗兰克.J.法博齐,骆玉鼎,高玉泽等译,债券组合管理,上海:上海财经大学出版社,2004,533~543
[23]I.A.Cooper.Assetvalues,interest-rate changes, and duration,J.Finan.Quant.Anal,1997,12(5):701-723
[24]李奥奈尔.马特里尼, 固定收益证券,北京:机械工业出版社,2002,152~156
[25]Lacey,N., Nawhalka,S., Convexity,risk and returns, Journal of Fixed Income,1993.3(3):72~79
[26]Pu Gong,Xubiao He.A risk hedging strategy under the nonparallel-shift yield curve, Journal of Fixed Income, 2005, 6:450-462
[27]Longstaff,F.,and E.Schwartz,Interest Rate Volatility and the Term Strctrure:A Two-Factor General Equilibrium Model, Journal of Finance,1992(9):1259~1282
[28]Jian Chen, Micheal C.Fu, Hedging beyond duration and convexity, Working papper,2002
[29]J.R.Barber,M.L.Copper, A Minimax Risk Strategy for Portfolio Immunization,Ins.Math.Econ.1998(23):13~177
[30]R.R.Reitano,Non-parallel yield curve shifts and stochastic immunization,J.Portfol.Manage.Winter.1996:71~78
[31]王春峰,万海辉,张维,金融市场风险测量模型——VaR,系统工程学报,2000.15(1):74~75
[32]G.Kaplanski,K.Yoram, VaR risk measures versus traditional risk measures-an analysis and survey,J.risk,2002.4(3):1~34
[33]J.Berkowitz, How accurate are value-at-risk models at commercial banks, Working Paper,www.gloriamundi.org,2002
[34]贺国生,栗红宇,商业银行利率风险度量的历史演变及现实启示,金融理论与实践,2005(1):73~75
[35]张金鳌,二十一世纪商业银行资产负债管理,北京:中国金融出版社,2002,92-100
[36]乔治.H.汉普尔,多纳德.G.辛曼森,银行管理——教程与案例,北京:中国人民大学出版社,2002,103-111
[37]武剑,利率市场化进程中的利率风险管理,财经科学,2003(2):P58-63
[38]米鸿军,邱箢华,基于主成分分析的利率风险因素实证研究,企业经济,2004(12):149~150
[39]倪叠玖,中国利率风险结构分析,财贸经济,2004(11):31~34
[40]姚长辉,梁越军,我国国债收益率曲线的实证研究,金融研究,1998(8):12~18
[41]朱世武,基于 SAS 系统的金融计算,北京:清华大学出版社,2004,299-312
[42]中国债券信息网,http://www.chinabond.com.cn/
[43]呈希骏,武义青,徐基新,利率波动下债券防护型投资策略分析,数量经济技术经济研究,1997(5):56~58