基于信用与利率风险控制的银行资产负债优化模型研究
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摘要
银行风险事关银行的生存和社会的稳定。信用风险和利率风险管理是银行风险管理中的核心内容。银行资产负债组合优化是一种总体风险控制与资源配给方法。同类研究结果表明,银行危机的实质在于商业银行资产配置失误,故提高资产配置效益和质量对于保持银行资产“三性”的最佳组合、增强银行的生存能力和竞争能力至关重要。
本论文共分六章,第一章绪论阐述了论文的选题依据、相关研究进展、研究方法、技术路线和研究内容。第二章建立了基于信用与利率双重风险免疫的资产负债组合优化模型。第三章建立了基于非线性区间函数风险控制的资产负债组合优化模型。第四章建立了基于VaR控制预留缺口的资产负债组合优化模型。第五章建立了基于资本充足率约束控制预留缺口的资产负债组合优化模型。第六章结论与展望。论文的主要研究成果如下：
(1)建立了基于信用与利率双重风险免疫的资产负债组合优化模型
通过Credit Metrics方法确定贷款等风险资产的各期信用等级迁移概率、回收现金流及贴现率,计算信用等级随机迁移后的各笔风险资产的现值,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,尽可能的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,保护了股东权益,克服了现有持续期免疫条件匹配资产负债结构,不能反映信用风险迁移的弊端,拓展了信用风险和利率风险整体控制的研究思路。
(2)建立了基于非线性区间函数风险控制的资产负债组合优化模型
通过相关系数组合单笔贷款的区间型下部风险建立了非线性区间型组合风险的函数表达式,控制贷款组合的风险,改变了现有研究的线性区间型算法将各笔贷款风险进行简单线性加权、进而夸大组合风险的弊端。通过单笔贷款或负债的利率下限(利率上限)导出单笔贷款或负债持续期上限(持续期下限),构建了区间型的利率风险免疫条件,使资产的最优配置在资产与负债的收益率变化时仍能免疫利率风险,改变了现有研究把存、贷款利率视为常数,无法使优化结果适应未来风险变化的不合理状况。通过引入持续期缺口的区间偏向选择参数γ决定预留缺口是赚钱还是亏钱、研究揭示了γ越大于0.5时,正缺口越大,在利率下降时就越赚钱。γ越小于0.5时,负缺口越大,在利率上升时就越赚钱；通过引入区间长度选择参数λ决定预留缺口损益的大小,揭示了在积极的利率风险管理策略中,选择较小的λ可能获得较多的风险收益。
(3)建立了基于VaR控制预留缺口的资产负债组合优化模型
通过预留持续期缺口,在利率变动的有利条件下,增加银行净值,克服了现有研究通常采用零持续期缺口或零敏感度缺口作为利率风险的主要管理手段,不能使银行在利率的有利变动中扑捉到市场机会,增加银行所有者权益的不足。利用VaR技术建立约束条件控制预设的持续期缺口,在利率变动的不利条件下,通过在一定置信水平下的最大损失限额控制资本损失,把银行可能面临的利率风险限定在银行的净利息收入范围内,保护了股东权益。
(4)建立了基于资本充足率约束控制预留缺口的资产负债组合优化模型
利率的变动使银行资产与负债的市值均发生改变,近而导致银行资本数量的变化,使资本充足率发生改变。通过预设持续期缺口使银行的资产负债组合在利率变动的有利条件下增加银行净值。弥补了现有的零缺口免疫条件的资产组合不能使银行股东权益在利率变化中增加的缺陷。通过对预设持续期缺口的控制使银行的资产负债组合在利率变动的不利条件下仍满足资本充足率不小于8%的法律法规要求。这种优化配给控制了资本损失,保护了股东权益,保证了在银行净值发生变化时资本充足率仍满足法律要求。弥补了现有理论偏重于通过久期缺口或敏感度缺口测算利率风险的暴露程度,而对积极预留缺口、有效控制缺口的方法却研究不足的弊端。
Banking risk influences the banks'survival and social stability vitally. Credit risk management and interest rate risk management are core content of risk management for banks. Bank assets and liabilities portfolio optimization is a general risk control and resource allocation method.The present researches show that the banking crisis comes from assets allocation errors substantially, So improving efficiency and quality of asset allocation is very important for the maintenance of the bank assets " security, profitability, liquidity " in the best combination and enhancing viability and competitiveness of banks.
This paper is divided into six chapters. The first chapter describes the basis of selection, process, methods and contents of related research in the paper. The second chapter structures the optimal model of asset portfolio to control both credit and interest rate risks. The third chapter discusses the double-risk-controlled optimization model for asset-liability management based on nonlinear interval numbers. The fourth and fifth chapters establish two kinds of optimization models of asset-liability portfolio based on the control of duration gap. The sixth chapter is the conclusion and outlook. The main contributions of the thesis are as follows:
(1) This paper unveils the double immunization principle and builds optimal model of asset portfolio to control both credit and interest rate risk. 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.
(2) This paper sets up the double-risk-controlled optimization model for asset-liability management based on nonlinear interval function, by controlling the credit risk of loan portfolio in the form of interval numbers, and constructing the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability. The special and contribution of this modle lay on five aspects. First, construct the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability, which makes the optimization of assets be immune to interest rate risk with a changing yield of asset and liability. Change the unreasonable status that deposit and lending rates are considered as constants in existing literature. Second, the study shows that interval-biased selection parameter g of duration gap decides whether the reserved gap makes money or loses money. Study shows that:when the interval-biased selection parameterγof duration gap is 0.5, the absolute value of both ends of gap interval is in minimum; the moreγis greater than 0.5, the larger positive gap is, and more money is earned when interest rate declines. The moreγis less than 0.5, the larger negative gap is, and more money is earned when interest rate rises. Third, the research shows that selection of parameterλof the length of the interval decides the size of profit or loss; reveals that the chosen of lesserλcan get more risk-based return in positive interest rate management strategy. Fourth, control the maximum loss and protect the equity of shareholders in the condition that prediction for future market interest rate is wrong, through the target interval of a reserved duration gap. Fifth, set up the function expression of nonlinear interval-based risk portfolio through the semi-absolute deviation of the combination of correlation coefficient, changing the existing studies of linear interval-based algorithm, and simply linear weighting the risk of each loan, thereby exaggerating the disadvantages of portfolio risk.
(3) This paper establishes optimization models of asset-liability portfolio based on VaR controlled prepared duration gap. Through the prepared duration gap, increase the bank net worth when there are favorable change of interest rate; at the same time use the VaR techniques to build constraints to control the prepared duration gap. With the changes of interest rates under adverse conditions, use the maximum loss limitation at a certain level of confidence to control the capital losses, therefore limit the interest rate of the banks that may face within the bank's net interest income to protect the interests of shareholders.
(4) This paper establishes optimization models of asset-liability portfolio based on capital adequacy ratio controlled prepared duration gap. Changes in interest rates cause the changes of the market value of bank assets and liabilities, therefore cause the changes of the number of bank capital, and cause the change of the capital adequacy ratio. Through reserving the gap and optimizing the portfolio, make sure that banks can increase the net worth or owner's equity when there are a favorable change in interest rates and the bank can control the capital adequacy ratio when there are an adverse change in interest rates. The character of this type model is:Reflecting the erosion level of prepared duration gap to the bank's capital levels when there are the unfavorable change in interest rates, focusing on requirements that the laws and regulations of the bank's capital adequacy ratio. These two types of models make up the immunity weakness of traditional zero-gap which can not increase the bank's shareholder's equity amply when interest rate fluctuations deficiencies, therefore change the irrational status that there are lack of research of the prepared reserve gap theory.
本论文共分六章,第一章绪论阐述了论文的选题依据、相关研究进展、研究方法、技术路线和研究内容。第二章建立了基于信用与利率双重风险免疫的资产负债组合优化模型。第三章建立了基于非线性区间函数风险控制的资产负债组合优化模型。第四章建立了基于VaR控制预留缺口的资产负债组合优化模型。第五章建立了基于资本充足率约束控制预留缺口的资产负债组合优化模型。第六章结论与展望。论文的主要研究成果如下：
(1)建立了基于信用与利率双重风险免疫的资产负债组合优化模型
通过Credit Metrics方法确定贷款等风险资产的各期信用等级迁移概率、回收现金流及贴现率,计算信用等级随机迁移后的各笔风险资产的现值,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,尽可能的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,保护了股东权益,克服了现有持续期免疫条件匹配资产负债结构,不能反映信用风险迁移的弊端,拓展了信用风险和利率风险整体控制的研究思路。
(2)建立了基于非线性区间函数风险控制的资产负债组合优化模型
通过相关系数组合单笔贷款的区间型下部风险建立了非线性区间型组合风险的函数表达式,控制贷款组合的风险,改变了现有研究的线性区间型算法将各笔贷款风险进行简单线性加权、进而夸大组合风险的弊端。通过单笔贷款或负债的利率下限(利率上限)导出单笔贷款或负债持续期上限(持续期下限),构建了区间型的利率风险免疫条件,使资产的最优配置在资产与负债的收益率变化时仍能免疫利率风险,改变了现有研究把存、贷款利率视为常数,无法使优化结果适应未来风险变化的不合理状况。通过引入持续期缺口的区间偏向选择参数γ决定预留缺口是赚钱还是亏钱、研究揭示了γ越大于0.5时,正缺口越大,在利率下降时就越赚钱。γ越小于0.5时,负缺口越大,在利率上升时就越赚钱；通过引入区间长度选择参数λ决定预留缺口损益的大小,揭示了在积极的利率风险管理策略中,选择较小的λ可能获得较多的风险收益。
(3)建立了基于VaR控制预留缺口的资产负债组合优化模型
通过预留持续期缺口,在利率变动的有利条件下,增加银行净值,克服了现有研究通常采用零持续期缺口或零敏感度缺口作为利率风险的主要管理手段,不能使银行在利率的有利变动中扑捉到市场机会,增加银行所有者权益的不足。利用VaR技术建立约束条件控制预设的持续期缺口,在利率变动的不利条件下,通过在一定置信水平下的最大损失限额控制资本损失,把银行可能面临的利率风险限定在银行的净利息收入范围内,保护了股东权益。
(4)建立了基于资本充足率约束控制预留缺口的资产负债组合优化模型
利率的变动使银行资产与负债的市值均发生改变,近而导致银行资本数量的变化,使资本充足率发生改变。通过预设持续期缺口使银行的资产负债组合在利率变动的有利条件下增加银行净值。弥补了现有的零缺口免疫条件的资产组合不能使银行股东权益在利率变化中增加的缺陷。通过对预设持续期缺口的控制使银行的资产负债组合在利率变动的不利条件下仍满足资本充足率不小于8%的法律法规要求。这种优化配给控制了资本损失,保护了股东权益,保证了在银行净值发生变化时资本充足率仍满足法律要求。弥补了现有理论偏重于通过久期缺口或敏感度缺口测算利率风险的暴露程度,而对积极预留缺口、有效控制缺口的方法却研究不足的弊端。
Banking risk influences the banks'survival and social stability vitally. Credit risk management and interest rate risk management are core content of risk management for banks. Bank assets and liabilities portfolio optimization is a general risk control and resource allocation method.The present researches show that the banking crisis comes from assets allocation errors substantially, So improving efficiency and quality of asset allocation is very important for the maintenance of the bank assets " security, profitability, liquidity " in the best combination and enhancing viability and competitiveness of banks.
This paper is divided into six chapters. The first chapter describes the basis of selection, process, methods and contents of related research in the paper. The second chapter structures the optimal model of asset portfolio to control both credit and interest rate risks. The third chapter discusses the double-risk-controlled optimization model for asset-liability management based on nonlinear interval numbers. The fourth and fifth chapters establish two kinds of optimization models of asset-liability portfolio based on the control of duration gap. The sixth chapter is the conclusion and outlook. The main contributions of the thesis are as follows:
(1) This paper unveils the double immunization principle and builds optimal model of asset portfolio to control both credit and interest rate risk. 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.
(2) This paper sets up the double-risk-controlled optimization model for asset-liability management based on nonlinear interval function, by controlling the credit risk of loan portfolio in the form of interval numbers, and constructing the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability. The special and contribution of this modle lay on five aspects. First, construct the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability, which makes the optimization of assets be immune to interest rate risk with a changing yield of asset and liability. Change the unreasonable status that deposit and lending rates are considered as constants in existing literature. Second, the study shows that interval-biased selection parameter g of duration gap decides whether the reserved gap makes money or loses money. Study shows that:when the interval-biased selection parameterγof duration gap is 0.5, the absolute value of both ends of gap interval is in minimum; the moreγis greater than 0.5, the larger positive gap is, and more money is earned when interest rate declines. The moreγis less than 0.5, the larger negative gap is, and more money is earned when interest rate rises. Third, the research shows that selection of parameterλof the length of the interval decides the size of profit or loss; reveals that the chosen of lesserλcan get more risk-based return in positive interest rate management strategy. Fourth, control the maximum loss and protect the equity of shareholders in the condition that prediction for future market interest rate is wrong, through the target interval of a reserved duration gap. Fifth, set up the function expression of nonlinear interval-based risk portfolio through the semi-absolute deviation of the combination of correlation coefficient, changing the existing studies of linear interval-based algorithm, and simply linear weighting the risk of each loan, thereby exaggerating the disadvantages of portfolio risk.
(3) This paper establishes optimization models of asset-liability portfolio based on VaR controlled prepared duration gap. Through the prepared duration gap, increase the bank net worth when there are favorable change of interest rate; at the same time use the VaR techniques to build constraints to control the prepared duration gap. With the changes of interest rates under adverse conditions, use the maximum loss limitation at a certain level of confidence to control the capital losses, therefore limit the interest rate of the banks that may face within the bank's net interest income to protect the interests of shareholders.
(4) This paper establishes optimization models of asset-liability portfolio based on capital adequacy ratio controlled prepared duration gap. Changes in interest rates cause the changes of the market value of bank assets and liabilities, therefore cause the changes of the number of bank capital, and cause the change of the capital adequacy ratio. Through reserving the gap and optimizing the portfolio, make sure that banks can increase the net worth or owner's equity when there are a favorable change in interest rates and the bank can control the capital adequacy ratio when there are an adverse change in interest rates. The character of this type model is:Reflecting the erosion level of prepared duration gap to the bank's capital levels when there are the unfavorable change in interest rates, focusing on requirements that the laws and regulations of the bank's capital adequacy ratio. These two types of models make up the immunity weakness of traditional zero-gap which can not increase the bank's shareholder's equity amply when interest rate fluctuations deficiencies, therefore change the irrational status that there are lack of research of the prepared reserve gap theory.
引文
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