Study of duration in commercial banks interest rate risk management with embedded options;
久期技术与基于隐含期权的商业银行利率风险管理
The Study of Interest Risk Management of Embedded Option of Commercial Bank;
商业银行隐含期权的利率风险管理研究
Measuring and managing interest rate risk in commercial banks with embedded option:convexity-gap model;
具有隐含期权的商业银行利率风险测量与管理:凸度缺口模型
This paper firstly constructs a jump model for the benchmark interest rates and then undertakes the numerical pricing and risk measurement procedures for deposits and loans with embedded options through Monte Carlo simulation method.
在构建存贷款基准利率跳跃模型后,本文采用蒙特卡罗模拟方法对隐含期权存贷款进行数值定价和风险度量,并基于久期一凸性缺口模型研究存贷款业务中的隐含期权对我国商业银行利率风险的影响。
However,traditional interest rate management such as duration gap and convexity gap cannot satisfy the requirements of banks asset/liability sheet with embedded options.
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。
The banks must set up the control systems of interest rate risk for that they should accept international regulatory standard of risk after entering WTO, and interest rate is being market\|oriented gradually, but the embedded options in bank s asset/liability sheet enhance the complexity of interest rate risk management.
加入世贸组织 ,接受国际通行的风险监管标准 ,以及利率的逐步市场化都要求银行业必须建立完备的利率风险控制体系 ,而银行资产负债中隐含期权的存在 ,增加了利率风险管理的复杂程度 。
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.
在与美国比较的基础上,分析我国商业银行贷款资产的特征和银行经营中存在的问题;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。
This paper decomposes the implied options in the asset and liability operations of bank, analyzes t.
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。
We regard the convertible bond as the combination of the direct debt and the inline option.
将可转换债券看作内嵌期权和内含债券的组合物,从投资者一般投资心理考虑问题,即投资者是否投资取决于投资收益率大于其事先设定的投资收益率底线的可能性,得到可转换债券转换比率模型。
The Study on the Embedded Option Risk s Measurement of Loan for Commercial Bank;
商业银行贷款隐含期权风险测量研究
The Research of Management of Interest Risk Based on Embedded Option in Commercial Bank
商业银行隐含期权利率风险管理研究
Managing Interest Rate Risk with Embedded Option Using Duration-Gap Model;
基于久期缺口模型的隐含期权利率风险管理
The Study of Management of Interest Risk Based on Embedded Option in Commercial Bank;
基于隐含期权的商业银行利率风险管理研究
Embedded Options and Interest Rate Risk for Commercial Bank;
具有隐含期权的商业银行的利率风险管理
The Study of Interest Risk Management of Embedded Option of Commercial Bank;
商业银行隐含期权的利率风险管理研究
The Application of Embedded Option Pricing in Bank s Liabilities;
我国银行负债隐含期权定价的应用研究
Valuation and Venture Management of Banks Asset/Liability Sheet with Embedded Options;
银行资产负债中隐含期权的识别与风险管理
Control Over Interest Rate Risk of Bank Asset/Liability Sheet with Embedded Options;
有隐含期权的银行资产负债表的利率风险控制
Identification and Pricing of Bank's Assert/Liability Sheet with Embedded Options
银行资产负债中隐含期权的识别和定价
Study of duration in commercial banks interest rate risk management with embedded options;
久期技术与基于隐含期权的商业银行利率风险管理
The Impact on Interest Rate of Commercial Banks in China Caused by Embedded Options in Deposits and Loans;
存贷款业务中的隐含期权对我国商业银行利率风险的影响
Measuring and managing interest rate risk in commercial banks with embedded option:convexity-gap model;
具有隐含期权的商业银行利率风险测量与管理:凸度缺口模型
Rate Risk Management of Bank sAsset/ Liability Sheet with Embedded Options
我国商业银行资产负债中隐含期权的利率风险管理
This is backed out of option prices.
隐含波动率在期权价格决定上影响较大。
Study of RMB Financial Planning Product Design and Embedded Interest Rate Option Pricing;
人民币理财产品设计及隐含利率期权定价研究
The Statistical Properties of Implied Standard Deviation Inferred from European Options with Powers;
欧式幂期权定价中隐含标准差的统计特征
The Optimization Approach for the Determination of the Implied Volatility through the Average Option Price;
由期权平均价格确定隐含波动率的最优化方法