摘要
随着利率市场化进程的发展,利率调整越来越频繁,利率波动的幅度也越来越大,隐含期权越来越多地嵌入在商业银行的资产负债项目中,成为利率风险管理的新难题。在识别隐含期权、理论分析隐含期权对久期模型影响的前提下,基于期权调整利差模型,采用了蒙特卡罗模拟方法计算出了隐含期权存在下的有效久期和有效凸度,对比分析了无隐含期权和有隐含期权时的久期和凸度值,显示出了隐含期权对利率风险的影响。
With the development of interest rate marketization and the increase of frequency of interest rate adjustment,the amplitude of fluctuation is intensifying and more embedded option are contained in comercial banks' assets and liabilities,which has become a new problem in the management of interest rate risk.Under the precondition of embedded option,effects of embedded option on duration model and the OAS model,this paper,via the Monte Carlo simulation method,calculates the effective duration and effective convexity in the assets and liabilities of commercial banks with embedded option,and analyses duration and convexity under embedded option and non- embedded option comparatively,showing the effects of embedded options on interest rate risk.
出处
《安徽理工大学学报（社会科学版）》
2014年第4期22-27,共6页
Journal of Anhui University of Science and Technology:Social Science
关键词
隐含期权
期权调整利差
蒙特卡罗模拟
embedded option
option adjusting interest margin
Monte Carlo simulation
