基于信用與利率雙重風險免疫的資產組合優化模型

摘 要：揭示了信用與利率雙重風險免疫原理，建立了基于信用與利率雙重風險免疫的資產組合優化模型，解決了傳統利率免疫條件不能反映信用等級遷移風險的問題。本文的創新與特色是建立了同時控制利率風險和信用等級遷移風險的優化模型。通過揭示市場利率的變化和信用等級遷移的變化共同引起貸款等資產現值的變化的規律性聯系，建立了同時反映利率風險免疫和信用等級遷移風險免疫的雙重風險免疫條件，同時控制了利率風險和貸款的信用風險，避免了在企業信用等級遷移和市場利率發生變化時銀行凈值的波動，克服了傳統免疫條件忽略信用風險的不足，開辟了資產優化配置研究的新思路，保證了市場利率波動時銀行股東權益不受損失。

關鍵詞：資產負債管理；信用風險免疫；利率風險免疫；雙重風險免疫

中圖分類號：F830.9 文獻標識碼：A 文章編號：1003-5192(2008)02-0042-08

Optimization Model of Asset Portfolio Based on Double Immunization of Credit Risk and Interest Rate Risk

CHI Guo-tai1， YAN Da-wen1，2， DU Juan3

(1. School of Management， Dalian University of Technology， Dalian 116024， China; 2. Department of Applied Mathematics， Dalian University of Technology， Dalian 116024， China; 3. Beijing Branch， Deloitte Touche Tohmatus CPA Ltd， Beijing 100738， China)

Abstract:This paper unveils the double immunization principle and builds optimal model of asset portfolio to control both credit and interest rate risks. Innovation and characteristic of this paper is that by revealing the changes of the present value of loans which caused by the changes of market interest rate together with credit grad migration， the model immunized against interest rate risk as well as credit grad migration risk. With this model， banks can avoid the fluctuation of the net assets by control the interest rate immunization and credit grad migration immunization which can not be solved by the traditional single immunization model which could only control the interest rate risk， thus contributes a brilliant idea for assets distribution optimization and ensures the effect that equity rights not to loss when market interest changes.

Key words:asset-liability management;credit risk immunization; interest rate risk immunization; double immunization

1 引言

資產負債管理(Asset-Liability Management， ALM)是把資產與負債組合視為有機整體，協調資金來源與運用的內在關系，在可接受的風險下實現資產組合的最大贏利，使資產與負債收、支現金流的時間和數額相匹配。

伴隨著利率市場化的深刻變革，加強利率風險管理，系統地控制利率風險，進一步提高銀行核心競爭力，是目前亟待研究的問題^[1]。

目前，利率風險管理的主流方法是基于缺口測量的目標規劃方法^[2]。其基本思想是，測量可反映金融機構利率風險的資產—負債匹配缺口，通過控制這些缺口的大小實現對利率風險的管理^[3]。……