| 基于违约风险调整的商业银行利率风险计量及实证分析 |
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| 引用本文： | 刘湘云,杜金岷.基于违约风险调整的商业银行利率风险计量及实证分析[J].预测,2006,25(5):46-49. |
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| 作者姓名： | 刘湘云 杜金岷 |
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| 作者单位： | 1. 广东商学院,金融学院,广东,广州,510320;暨南大学,经济大学,广东,广州,510632
2. 暨南大学,经济学院,广东,广州,510632 |
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| 基金项目： | 国家自然科学基金;广东省社会科学基金 |
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| 摘 要： | 当前，商业银行利率风险计量与管理实践中所使用的久期模型忽略了违约风险的影响，然而，银行资产中包括不少的高收益、高风险的垃圾债券和风险贷款，因而其久期计算结果必将产生较大误差。本文通过引入反映违约先验概率的参数以及放松平坦期限结构的假定扩展了Bierwag和Kaufman模型，同时考虑了息票支付和违约补偿，构建了包括确定性等价因子等参数的违约风险资产久期的一般化模型。此外，通过实证分析得出，对于含有违约风险的债券和贷款来说，在其久期计算中幸存概率、违约清算时滞和违约补偿额是影响久期测度的重要因素，这些因素必将对商业银行的利率风险管理产生重要影响。
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| 关 键 词： | 违约风险调整 商业银行 利率风险 久期 |
| 文章编号： | 1003-5192（2006）05-0046-04 |
| 收稿时间： | 2006-03-04 |
| 修稿时间： | 2006-03-04 |
Positive Analysis about the Econometric Modeling on Interest-rate Risks in Commercial Banks Adjusted by Default Risks |
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| LIU Xiang-yun,DU Jin-min.Positive Analysis about the Econometric Modeling on Interest-rate Risks in Commercial Banks Adjusted by Default Risks[J].Forecasting,2006,25(5):46-49. |
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| Authors: | LIU Xiang-yun DU Jin-min |
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| Abstract: | At present,all the duration models adapted to measure and manage interest-rate risks in commercial banks ignored the effect from default risks,which resulted in a heavy error while calculating their durations,because those banks had lots of garbage bonds and risky loans.This paper developed Bierwag and Kaufman model by introducing the factor mirrored the transcendental probability and loosing the hypothesis of flat-term-structure,at the same time,it considered over coupon payment and allowed on-off liquidation after default,thus built up the general model about duration of the defaultrisky assets that comprised the factors such as confirm-equivalence-factor and so on.Moreover,a conclusion could be draw through positive analysis that,to the bonds and loans including default risks,the factors(such as survived probability,time lag about liquidation after default,compensation to default and so on) were very important ones affecting their durations,and these factors certainly would bring about heavy effect to managing interest-rate risks in commercial banks. |
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| Keywords: | default-risks adjusted commercial banks interest-rate risk duration |
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