银行资产负债中隐含期权的识别和定价

随着利率市场化改革的深入,商业银行在经营中将出现一种新的风险,即隐含期权所带来的利率风险。对这些隐含期权的忽略会给公司造成重大损失。本文先向读者展示了什么是隐含期权以及这样的期权在什么情况下得到执行,这种期权的执行将如何给银行带来潜在的风险,然后说明了银行隐含期权的度量方法,特别创新的给出了数值计算方法,最后针对这样的潜在风险,作为一个银行的管理者应该如何去管理这样的风险,本文给出了一些有用的建议。

Identification and Pricing of Bank's Assert/Liability Sheet with Embedded Options

A new risk which is caused by the embedded option will appear in the bank management with the process of market-oriented reform of interest rates,and we will loss a lot if we neglect this embedded option.This article firstly tells the reader what is imbedded option,when will the embedded option be performed and how does this option make the bank be under the potential risk.And the article gives the way to measure the value of this embedded option and shows the numerical method innovatively.According to this potential risk,the article gives some useful suggestions about how to manage this risk as a bank manager.