【摘要】：商業(yè)銀行資產(chǎn)負(fù)債管理是一種總體風(fēng)險(xiǎn)控制與資源配置的方法，其管理目標(biāo)是滿足商業(yè)銀行的“三性”經(jīng)營(yíng)原則，即流動(dòng)性、安全性和盈利性。近年來(lái)，隨著我國(guó)利率市場(chǎng)化進(jìn)程的進(jìn)一步深入、金融管制的放松和金融創(chuàng)新的加強(qiáng)，一方面，利率波動(dòng)將會(huì)更加頻繁并難以預(yù)測(cè)，商業(yè)銀行的經(jīng)營(yíng)管理面臨著更大的利率風(fēng)險(xiǎn)；另一方面，我國(guó)金融市場(chǎng)將會(huì)更加開(kāi)放，商業(yè)銀行會(huì)獲得越來(lái)越充分的貸款定價(jià)自主權(quán)，金融環(huán)境也會(huì)更加錯(cuò)綜復(fù)雜，商業(yè)銀行在經(jīng)營(yíng)管理中所面臨的信用風(fēng)險(xiǎn)也會(huì)更加突出。從上世紀(jì)九十年代開(kāi)始，，越來(lái)越多的實(shí)踐資料表明，利率風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)并不是孤立的，他們往往結(jié)合在一起，共同影響著商業(yè)銀行的經(jīng)營(yíng)與管理。因此，提高商業(yè)銀行信用風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)控制管理能力，優(yōu)化銀行資產(chǎn)負(fù)債的配置效益和質(zhì)量，增強(qiáng)銀行的風(fēng)險(xiǎn)抵抗能力和競(jìng)爭(zhēng)能力至關(guān)重要。 本文共分為五個(gè)部分。第一部分為引言，介紹了論文選題的背景、相關(guān)國(guó)內(nèi)外研究現(xiàn)狀、選題的理論意義與實(shí)踐價(jià)值、論文的研究方法、思路和創(chuàng)新之處等。第二部分結(jié)合我國(guó)金融機(jī)構(gòu)的短期和中期貸款定價(jià)決策行為不是僅僅依賴于借款人到期日的狀態(tài)信息，而是取決于整個(gè)貸款有效期內(nèi)的狀態(tài)信息，包括當(dāng)期信息和前期信息的實(shí)際情況建立了基于固定敲定價(jià)幾何平均亞式期權(quán)的違約風(fēng)險(xiǎn)久期模型。第三部分以銀行資產(chǎn)組合利息收入最大化為目標(biāo)函數(shù)，以違約風(fēng)險(xiǎn)久期缺口和相關(guān)的法律法規(guī)及商業(yè)銀行經(jīng)營(yíng)管理約束等為約束條件，建立了基于違約風(fēng)險(xiǎn)的久期利率免疫組合優(yōu)化模型。第四部分為該組合優(yōu)化模型的一個(gè)詳細(xì)應(yīng)用舉例。第五部分為論文的結(jié)語(yǔ)與展望部分。
[Abstract]:The management of assets and liabilities of commercial banks is a method of overall risk control and resource allocation. Its management goal is to meet the "three characteristics" management principles of commercial banks, that is, liquidity, security and profitability. In recent years, with the further deepening of the interest rate marketization process, the relaxation of financial regulation and the strengthening of financial innovation, on the one hand, interest rate fluctuations will become more frequent and difficult to predict. On the other hand, China's financial market will be more open, commercial banks will obtain more and more full loan pricing autonomy, and the financial environment will be more complex. The credit risk faced by commercial banks in operation and management will be more prominent. Since the 1990s, more and more practical data show that interest rate risk and credit risk are not isolated, they are often combined to affect the management and management of commercial banks. Therefore, it is very important to improve the management ability of credit risk and interest rate risk control of commercial banks, optimize the allocation benefit and quality of bank assets and liabilities, and enhance the risk resistance and competition ability of banks. This paper is divided into five parts. The first part is the introduction, which introduces the background of the selected topic, the current research situation at home and abroad, the theoretical significance and practical value of the topic, the research methods, ideas and innovations of the paper. The second part combines the short-term and medium-term loan pricing decision behavior of financial institutions in China not only depends on the borrower's maturity date status information, but also depends on the state information of the whole loan period. Based on the current information and the prior information, the model of default risk duration based on fixed knock pricing geometric average Asian option is established. The third part takes the maximization of interest income of the bank portfolio as the objective function, taking the breach of default risk, the relevant laws and regulations, and the management constraints of commercial banks as the constraint conditions. Based on default risk, the immune combination optimization model of long term interest rate is established. The fourth part is a detailed application example of this combinatorial optimization model. The fifth part is the conclusion and prospect of the thesis.
【學(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.3;F830.42

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