基于动态随机优化方法的商业银行利率风险最优控制

利用Zimmerman的随机优化方法,构造一个多目标优化模型,通过合理确定其中决策变量的值,使商业银行在决策期末满足最小化利率风险的条件下收益最大化.实例计算表明,相对于利率风险静态久期免疫模型而言,动态随机久期免疫模型对于给定的初始值和约束条件,可以较好地减少利率风险暴露头寸和提高收益;同时,利率风险较大时,后者比前者更好地降低利率风险暴露,鲁棒性更强.

Optimal Control of Interest Rate Risk in Commercial Banks with Dynamic Stochastic Optimization Method

Traditional static interest-rate-risk-management models are only suitable for immunization from a certain change of interest rate,otherwise,we can be confronted with Stochastic Process Risk;and these models require that all of interest rate term structure be completely interrelated.Under interest rate marketization,these defects are more obvious.This paper constructs a target mapping model with Zimmerman' stochastic optimization method,which makes commercial banks at the end term of decision satisfy interes...