| 我国商业银行资产负债中隐含期权的利率风险管理 |
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| 引用本文： | 李晓颖,董梁,孙萍萍.我国商业银行资产负债中隐含期权的利率风险管理[J].中国西部科技,2009,8(32):50-52. |
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| 作者姓名： | 李晓颖 董梁 孙萍萍 |
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| 作者单位： | 江苏科技大学经济管理学院,江苏,镇江,212005 |
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| 摘 要： | 随着利率市场化的发展以及我国商业银行金融工具的不断创新，隐含期权越来越多地出现在商业银行资产负债表中，同时给商业银行的经营带来巨大的利率风险。因此商业银行迫切要求及时建立完备的利率风险管理体系。然而传统的银行风险管理方法如利率敏感性缺口、久期缺口等已经无法适应隐含期权的资产负债的利率风险管理要求。
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| 关 键 词： | 隐含期权 利率风险 期权调整利差 有效久期 有效凸度 |
Rate Risk Management of Bank's Asset/Liability Sheet with Embedded Options |
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| LI Xiao-ying,DONG Liang,SUN Ping-ping.Rate Risk Management of Bank's Asset/Liability Sheet with Embedded Options[J].Science and Technology of West China,2009,8(32):50-52. |
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| Authors: | LI Xiao-ying DONG Liang SUN Ping-ping |
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| Institution: | (School of Economics and Management,liangsu university of science and technology, liangsu 212003,China) |
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| Abstract: | As marketed-oriented interest reformation proceeds in China and innovation of financial instruments,more and more embedded options appear in the bank＇ s asset/liability sheet and bring huge interest rate risk simultaneously.It is necessary for commercial banks to establish interest rate management system,however,traditional interest rate management such as interest rate sensitive gap and duration gap cannot satisfy the requirements of bank＇ s asset/liability sheet with embedded options. |
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| Keywords: | Embedded option Interest rate risk OAS Effective duration Effective convexity |
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