基于优化方法的商业银行利率风险管理研究

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1、天津大学博士学位论文基于优化方法的商业银行利率风险管理研究姓名：杨建林申请学位级别：博士专业：管理科学与工程指导教师：王春峰20021201AbstractSincetheearlyseventies,thebreakdownoftheBrettonWoodsAgreement,coupledwithaliberalizationofthefinancialmarketsandtheinflationandoilcrisisofthesametime,ledtoincreasedvolatilityofinter

2、estratesoffixed-incomesecurities.Theinternationalbankingwitnessedoperationalplightstemmingfrominterestraterisk.Underthisbackground,thesignificanceofthemeasurementandmanagementofinterestrateriskbothintheoryandpracticeisdistinctforcommercialbacks.Thispaperisjus

3、tmotivatedbytheoutstandingproblemsexistentinthemeasurementofinterestrateriskmanagementofcommercialbanks.Withthepurposeoffurthermeetingitsinterestrateriskmanagement,theexistentmodelsareexpandedandrevisedmainlyfromthemeasurementofinterestrateriskofspecialassets

4、inthebalancesheetandsomecertainshiftsintheinterestratetermstructure.First,themeasurementandmanagementofinterestrateriskofbondswithdefaultriskisstudied,itsnecessitypointedout,anditsgeneraldurationformulaisgiven.Aninterestrateriskmanagementmodelrelatedtodefault

5、riskisestablishedforcommercialbanks.Variousefectsofdefaultriskontheassetandliabilitymanagementofcommercialbanksarediscussedafteranumericalexampleisgiven.Secondly,themeasurementandmanagementofinterestrateriskofconvertiblebondsisputforward,anditscharacteristics

6、aswellasthenecessityofinvestigationareformulated.Accordingtotheformulaeofdurationandconvexityofconvertiblebonds,amulti-objectiveprogrammingmodeloftheinterestrateriskmanagementofcommercialbankswithconvertiblebondsisestablishedanditsvariousresultsobtainedareana

7、lyzedThirdly,InviewofDurationModel'sfailingtohandlethenon-parallelmovementofthetermstructureofinterestrate,theconceptofdirectionderivativeisproposedtotacklearbitraryshiftsinthetermstructureandaformulaispresentedtocomputethedirectionderivativeoffixed-incomepor

8、tfolio.Basedontheconceptofdirectionderivative,animmunizationstrategyisconstructedtomanagethemostinterestrateriskexposureofagivenportfolioandtheimmunizationstrategyisappliedtothemanagement