文档介绍：南京财经大学
硕士学位论文
商业银行存贷款隐含期权的识别和定价
姓名:唐恩林
申请学位级别:硕士
专业:金融学
指导教师:闫海峰
2011-01
摘要
中国加入 WTO 以来,逐步放宽了对利率的管制,中国的利率市场化的程度
越来越深,因此利率波动越来越频繁、波动的幅度也越来越大,这样的形势对商
业银行的利率风险管理工作提出了更高的要求;同时随着金融创新的发展和金融
衍生工具的逐渐增多,银行的资产负债项目中也不可避免且越来越多的嵌入了隐
含期权,因此全面认识隐含期权、隐含期权风险产生的机制以及隐含期权的利率
风险度量方法,已经成了商业银行风险管理人员不可回避的任务。
本文在分析中国利率变动特性的基础上,选取了跳跃-扩散模型来描述当前
利率市场化背景下我国利率的变动路径,采用美式期权定价的原理和方法,结合
中国商业银行存贷款隐含期权的类型及该期权的最优执行策略,借助蒙特卡罗模
拟方法对商业银行存贷款中的隐含期权进行了定价。提出从利率风险控制、合同
限制、基于隐含期权定价的利率定价、提前偿付模型的建立、隐含期权风险的转
移和对冲等方面构建隐含期权风险控制的完整体系,给商业银行提出了相应的对
策和建议。

关键词:商业银行;隐含期权;利率风险管理;利率期限结构

I
ABSTRSCT
China has gradually reduced controls on risk rate since China joined in the WTO,
interest rate in China is ing increasingly market-oriented. So the fluctuation of
the interest rate es more frequent and the volatility is also growing. This
situation put forward the higher requirement to the interest rate management of the
commercial bank. At the same time, as the development of financial innovation and
the gradual increase in financial derivatives, Bank’s assets and liabilities also
inevitably contained an increasing number of embedded options. Therefore,
comprehensive understanding of embedded option, the generation mechanism and the
measurement methods of embedded option, has e the task of risk management
which cannot be avoided.
In this paper, based on the characteristics of interest rate of china,a
jump-diffusion model was selected to describe the path of interest rate in the
background of interest rate market, in according with the type and executive strategy
of embedded option, this paper prices the embedded option in the deposits and loans
mercial banks using American option pricing theory and method by means of
Monte Carlo .At last, the thesis brought up ideas about how to control the risk of
interest rate,contract restrictions,the pricing based on the embedded option,
establishment of prepayment model, trans