| 商业银行隐含期权的利率风险管理研究 |
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| 引用本文： | 易传和,刘炼.商业银行隐含期权的利率风险管理研究[J].财经理论与实践,2007,28(4):19-23. |
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| 作者姓名： | 易传和 刘炼 |
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| 作者单位： | 湖南大学金融学院,湖南长沙410079 |
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| 摘 要： | 随着利率市场化改革的深入,隐含期权将成为我国商业银行普遍存在的利率风险问题,对这些隐含期权利率风险的忽略有可能给银行造成重大损失.基于期权调整的有效持续期和凸度是衡量银行隐含期权利率风险的主要技术指标.对于隐含期权的利率风险应从契约上加以防范,并可运用证券化技术转移、建立基于期权调整利差模型的利率定价机制、科学匹配有效持续期和引入利率衍生工具等途径进行全面控制.
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| 关 键 词： | 隐含期权 利率风险 有效持续期 期权调整利差模型 商业银行 隐含期权 利率衍生工具 风险管理 研究 Bank Commercial Option Embedded Risk Management Interest 全面控制 匹配 科学 定价机制 模型 期权调整利差 技术转移 证券化 运用 |
| 文章编号： | 1003-7217（2007）04-0019-05 |
| 收稿时间： | 2006-12-04 |
| 修稿时间： | 2006-12-04 |
The Study of Interest Risk Management of Embedded Option of Commercial Bank |
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| YI Chuan-he,LIU Lian.The Study of Interest Risk Management of Embedded Option of Commercial Bank[J].The Theory and Practice of Finance and Economics,2007,28(4):19-23. |
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| Authors: | YI Chuan-he LIU Lian |
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| Institution: | Finance College of Hunan University, Hunan, Changcha 410079 |
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| Abstract: | Follow the improvement of interest market reformation, embedded option is becoming the ubiquitous interest risk problem of commercial banks of China,and the banks will get great lost if they overlook the interest risk of embedded option. The option adjust effective duration and convexity are main measuring indexes of interest risk of embedded option of commercial bank. The general control of interest risk of embedded option should prevent from contract first,and transfer risk by securities technology, found the interest rate pricing mechanisms which are based on option- adjusted spread model, matching effective duration of scientific instruments, introduce interest rate derivatives . |
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