Measuring and managing interest rate risk in commercial banks with embedded option:convexity-gap model
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摘要:
研究基于凸度缺口模型的具有隐含期权的商业银行利率风险管理问题 .提出隐含期权型金融工具利率风险测量的杂合低偏差序列 Monte Carlo方法 (HPL- MC) ,构建利率风险管理的目标规划模型 .计算实例表明 ,与久期缺口模型相比 ,凸度缺口模型在鲁棒性和减少利率风险方面效果更好
Abstract:
Interest rate risk management for commercial banks with embedded option is investigated based on the convexity gap model in this paper. The HPL MC method is proposed for measurement of interest rate risk of the embedded option, and an objective programming model is constructed to manage interest rate risk. The results of numerical example demonstrate that this model is effective than duration gap model in robustness and risk exposure reduction.