隐含期权

持期匹配及隐含期权条件下的持期计算

Duration Matching and Its Calculation for Bond with Embedded Option

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。

Interest rate risk management for commercial banks with embedded option is investigated based on the convexity gap model in this paper .

其次，以有效持续期为核心对隐含期权利率风险的衡量技术进行了分析。

Then the paper selects effective duration as the measurement of embedded option .

商业银行隐含期权利率风险管理研究

The Research of Management of Interest Risk Based on Embedded Option in Commercial Bank

隐含期权的存在导致商业银行面临更大的利率风险，因此研究隐含期权利率风险的衡量方法是十分必要的。

The existence of embedded options results in a greater interest rate risk in commercial banks .

不可否认，本文的研究是探索性的，所得到的住房抵押贷款隐含期权的定价表达式及其中的参数估计是否更为合理都有待于今后进一步的检验和研究。

Weather the result of implicit option pricing expressions and parameters estimation is more reasonable , needing further research .

最后，提出了商业银行基于隐含期权利率风险控制机制的构建。

Finally , the paper give some advises on how to build an effective risk control mechanism to control interest rate risk-embedded option .

然而传统的银行风险管理方法如资产负债缺口管理，久期管理和凸度管理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。

However , traditional interest rate management such as duration gap and convexity gap cannot satisfy the requirements of banks asset / liability sheet with embedded options .

本文的创新与特色一是提出了基于期权调整持续期的银行资产负债组合优化原理，避免了资产与负债中的隐含期权给银行带来提前偿付风险。

The first innovation and characteristic of this paper is that it introduces the theory of controlling embedded-option risk of the asset-liability management base on the option-adjusted duration .

接着通过两种方法&无套利分析和数值计算法对隐含期权进行了定价，并进行了期权价格对各个因素的敏感性分析，得出了许多具有创新意义的结论。

Two methods , no arbitrage analysis and numerical methods are used to price the implied options and the sensitivity test of option price on different factors is given out .

文章对银行资产负债业务中隐含期权进行了分解，分析其隐含期权的特征以及各个因素对期权执行可能性的影响。

This paper decomposes the implied options in the asset and liability operations of bank , analyzes their characters and the impact of different factors on the execution possibility of option .

提出了隐含期权条件下银行资产负债表的利率风险的控制策略，强调匹配期权调整的持续期，以及构造正的凸度缺口对冲负的凸度缺口；

And advance the strategies of control over interest rate risk under embedded options , which emphasize matching option-adjusted duration and constructing the positive convexity gap to hedge the negative one ;

第二部分包括第二章到第四章，是对住房抵押贷款隐含期权的定价，其主要特点是在浮动利率及美式期权条件下进行探讨的，得出了隐含期权的表达式。

The second part including Chapter ⅱ to Chapter IV is the pricing of implied option to mortgage ; Its main feature is base on the floating rate and American options to explore .

同时，本文得出10年期住房抵押贷款的隐含期权价值为：0.0029，也即应在贷款利率的基础上，加上相应的期权值，才为较保守的、合理的利率。

By 10-year mortgage option value implied : 0.0029 , ie , interest rates should be based on the loan , together with the corresponding option values , it is more conservative and reasonable rates .

同时，论文针对银行金融创新工具中隐含期权问题，将隐含期权纳入市值分析，增强了市值分析的实用性。

At the same time , with the embedded options in the innovative financial instruments , the chapter added the embedded options into market value analysis , which will enhance the practicability of market value analysis .

我们就隐含期权条件下银行资产负债表的利率风险控制进行研究，选择了资产与负债的持续期缺口和凸度缺口作为控制指标；

We make researches of control over interest rate risk of bank ' asset / liability sheet with embedded options , and select duration gap and convexity gap as the indicators of control over interest rate risk ;

分析了实施利率风险控制策略所需要的基于利率情景制造的隐含期权的证券估价技术。

And analysis the valuation technology of the security with embedded options on the basis of scene generation of interest rate , which is essential to implementing the strategies of control over interest rate risk under embedded options .

提出了基于期权调整持续期的银行资产负债隐含期权风险控制原理，结合持续期缺口的控制和法律、法规约束等控制银行的利率风险与流动性风险。

This paper puts forward the theory of controlling embedded-option risk of the asset-liability management base on the option-adjusted duration , and combining duration gap and laws and regulations control of banks ' interest risk and liquidity risk .

保单价值和作为保单重要构成部分的隐含期权（正是因为各种隐含期权，形成了各种不同的保单）的价值对保单持有人和保险公司始终是一只黑箱。

The value of the policy and the embedded options ( a variety of different policies because of various embedded options ) being the important component of the policy , are always a black box to policyholders and insurance companies .

从衡量利率风险的久期与凸度技术出发，重点探讨了基于隐含期权及期权调整利差的有效久期和有效凸度模型，并研究了其在我国商业银行利率风险管理中的具体应用。

Based on the technics of duration and convexity , the study probes into the effective duration and convexity with embedded options and OAS , as well as the application of interest rate risk management for the commercial banks in China .

将客户盈利程度分析法与基于银行资产负债隐含期权的风险溢价测算方法相结合，提出了基于客户盈利程度分析的贷款风险定价方法，并通过实例对该方法进行了说明。

Combining customer profitability anslysis and evaluation of risk premium based on implied options in the asset and liability of banks , the paper suggests a loan pricing methods based on customer profitability analysis and explains the method with a case study .

从商业银行利率风险的防范及利率市场化条件下金融产品的定价等方面论述了利率敏感性缺口管理、利用隐含期权的商业银行利率风险管理等利率风险管理的技术和方法。

The author analyzes technologies and methods of interest rate sensitivity gap management and management of interest rate risk of commercial banks from the angle of avoiding interest rate risk and the pricing of financial products under the condition of interest rate marketization .

衡量隐含期权利率风险应用有效持续期和有效凸度作为风险的量度指标，而不能用敏感性缺口和修正持续期缺口，因为后者没有考虑隐含期权对资产和负债的现金流和市场价值的影响。

We select effective duration and convexity rather than the sensitivity gap method and modifying duration gap method as the measuring index , because the latter do not consider the influence on cash flow and market value of the assets and liabilities brought by embedded options .

首先对隐含期权的概念作出界定，分析了隐含期权在商业银行资产和负债中的表现形式以及目前我国商业银行资产负债项目中最主要的隐含期权利率风险的来源。

First of all , the paper defines the risk - embedded option , figures out the forms of the embedded option in the assets and liabilities of the commercial banks and analyzes the main source of the interest risk - embedded option of our country at the present time .

在分析地铁PPP项目中隐含的实物期权的基础上，建立了基于实物期权的地铁PPP项目投资决策模型，并对模型进行了敏感性分析。

On the basis of analysis the types of real option implicate in subway PPP project , the subway PPP project investment decision-making model is established , and sensitivity analysis is taken to the model .

本文通过引入实物期权的思想为投资决策评价，运用布莱克&舒尔斯和二叉树期权定价模型，给战略投资隐含的实物期权定价，使用蒙特卡罗方法来消除关键因素的不确定带来的影响。

This paper uses real options Methods to evaluate investment decision , applys Black-Scholes and Binary tree model to price real options involved strategic investment , to eliminate effects of uncertainty occurred by key factors with Monte Carlo Methods .

本文对调整现值法中的筹资附带效应、规模和范围经济效应、外部效应、项目隐含的实物期权等的估价作了探讨，为评价复杂的投资项目提供了有益的分析思路。

We make an elaborate analysis of how to evaluate such items as financing effect , scale and scope effect and the implicit real options in using the adjusted PV approach , which may serve as guidance for evaluating complicated projects .

通过引入实物期权计算并购项目隐含的各种实物期权的价值，我们得到了对目标企业更加合理的评价。

By the way of real option , we valued the Growth option in M & A and gained the better assessment of target firm .