基于存量与增量叠加风险控制的全资产负债优化模型

Asset Liability Management (ALM) is a discipline which researches on the rational allocation of asset and liability to realize liquidity, security and profitability. Improper asset allocation can result in bank crisis. Existing researches only focus on optimizing incremental portfolio, but in practice bankers are more concerned with vast existing portfolio, for this reason, we come up with a total asset and liability optimization theory based on superposition risk control between existing and incremental portfolio. We control the default risk by setting up nonlinear risk accumulation function of "inventory+increment" asset, in order to build a incremental assets optimization model based on the control of total default risk. We match the residual maturity of existing and incremental assets with the term to maturity of total liability, in order to build a incremental assets optimization model based on the control of total liquidity risk. We set up total asset and liability immune conditions, such as duration and convexity immune, in order to build a incremental assets optimization model based on the control of total interest risk. Our research sets yield parameters such as Risk Adjusted Return on Capital (RAROC) as objective function, on this condition, we control the total asset and liability allocation risk by means of "inventory+increment" nonlinear accumulated risk, in order to build a total asset and liability optimization model based on the control of the accumulated risk of inventory and increment, in this way, we may develop a new theory of financial assets allocation.

资产负债管理是对资产和负债进行合理配置，实现流动性、安全性和盈利性。资产配置不当会导致银行危机。本项目针对现有研究仅仅立足增量组合优化的弊端和银行家更关注巨额存量贷款组合风险的实际，提出了基于存量与增量叠加风险控制的全资产负债优化原理。通过"存量+增量"资产非线性风险叠加函数控制违约风险，建立基于全部违约风险控制的增量资产优化模型。通过把存量和增量资产的剩余期限与全部负债的到期期限进行广义的期限结构匹配，建立基于全部流动性风险控制的增量资产优化模型。通过构建存量与增量组合后的全部资产负债的持续期、凸度等免疫条件，建立基于全部利率风险控制的增量资产优化模型。本研究致力于以风险调整资产收益RAROC等收益类参数为目标函数，通过"存量+增量"非线性风险叠加后的全部组合风险来控制新、旧全部资产负债的配置风险，建立一类基于存量与增量叠加风险控制的全资产负债优化模型，开拓了金融资产配置的新思路。

资产负债管理是对资产和负债进行合理配置，实现流动性、安全性和盈利性。资产配置不当会导致银行危机。本项目通过同时将过去已经配置的资产的存量组合与待配置的增量组合一并考虑后与全部负债结构进行匹配，构建基于“存量+增量”的全资产负债组合优化模型。一是建立了一类基于信用风险迁移的全资产组合优化模型。这一类研究通过构建信用风险迁移后的收益率与贷款组合风险的离散函数关系，建立“存量+增量”全部资产组合非线性叠加后的风险表达式；以全部资产组合总风险为基础，以增量资产组合的配置满足“存量+增量”组合的预期收益最大为目标函数，建立优化模型。改变现有研究仅立足于优化增量组合、忽略“存量+增量”全部资产组合的不足。二是建立了一类基于极端风险控制的全资产组合优化模型。这一类研究通过全部资产收益率的指数谱风险、下偏矩LPM等极端风险最小，控制银行存量与增量资产的总体极端风险，建立优化增量资产组合配置的模型。三是建立了一类基于流动性风险控制的资产负债优化模型。这一类研究通过长期负债配置同期资产后的剩余部分用来配置短期资产，建立剩余资金长期短配的模型优化配置增量资产组合，控制银行流动性风险。四是建立了一类基于利率风险控制的全资产负债优化模型。这一类研究通过对“存量+增量”全部组合预留一个合适的持续期缺口，既保证利率发生有利变动时增加股东权益，又保证利率发生不利变动时将损失控制在其承受范围内。同时针对利率变动的非平行特点，通过Vasicek、CIR等随机利率模型，以银行资产和负债随机久期的水平、斜率和曲率三个维度的利率风险免疫为约束条件，以资产的收益最大为目标函数，建立了免疫利率风险的资产配置模型，保证了在利率发生非预期变动时银行的资产净值能够不受损失。