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| 基于信用与利率双重风险免疫的资产组合优化模型 | |
| 引用本文： | 迟国泰,闫达文,杜娟.基于信用与利率双重风险免疫的资产组合优化模型[J].预测,2008,27(2):42-49. |
| 作者姓名： | 迟国泰 闫达文 杜娟 |
| 作者单位： | 1. 大连理工大学,管理学院,辽宁,大连,116024 2. 大连理工大学,管理学院,辽宁,大连,116024;大连理工大学,应用数学系,辽宁,大连,116024 3. 德勤华永会计师事务所有限公司,北京分所,北京,100738 |
| 基金项目： | 国家自然科学基金资助项目(70471055)，高等学校博士学科点专项科研基金资助项目(20040141026) |
| 摘 要： | 揭示了信用与利率双重风险免疫原理,建立了基于信用与利率双重风险免疫的资产组合优化模型,解决了传统利率免疫条件不能反映信用等级迁移风险的问题。本文的创新与特色是建立了同时控制利率风险和信用等级迁移风险的优化模型。通过揭示市场利率的变化和信用等级迁移的变化共同引起贷款等资产现值的变化的规律性联系,建立了同时反映利率风险免疫和信用等级迁移风险免疫的双重风险免疫条件,同时控制了利率风险和贷款的信用风险,避免了在企业信用等级迁移和市场利率发生变化时银行净值的波动,克服了传统免疫条件忽略信用风险的不足,开辟了资产优化配置研究的新思路,保证了市场利率波动时银行股东权益不受损失。 |
| 关 键 词： | 资产负债管理 信用风险免疫 利率风险免疫 双重风险免疫 |
| 文章编号： | 1003-5192(2008)02-0042-08 |
| 修稿时间： | 2007年1月26日 |
Optimization Model of Asset Portfolio Based on Double Immunization of Credit Risk and Interest Rate Risk |
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| CHI Guo-tai,YAN Da-wen,DU Juan.Optimization Model of Asset Portfolio Based on Double Immunization of Credit Risk and Interest Rate Risk[J].Forecasting,2008,27(2):42-49. | |
| Authors: | CHI Guo-tai YAN Da-wen DU Juan |
| 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. |
| Keywords: | asset-liability management credit risk immunization interest rate risk immunization double immunization |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |