基于隐含期权的商业银行个人贷款利率风险研究

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

摘要: 商业银行的个人抵押贷款可以视为具有隐含期权的金融工具，利率产品中的隐含期权存在不可忽视的潜在风险。基于期权调整的有效持续期和有效凸度是衡量含有隐含期权的个人抵押贷款的利率风险的主要技术指标。本文实证结论表明，利率的微小波动会对有隐含期权的个人抵押贷款的价值产生巨大的影响，从而建议商业银行通过建立基于期权调整利差模型的利率定价机制等途径，达到对利率风险进行全面控制的目的。

Abstract: Personal loans can be secured as financial instruments with embedded options, and potential risks in the embedded options of the interest rate products can not be ignored. Effective duration and effective convexity based on the option adjustment are the main technical indicators to measure the interest rate risk in the embedded options of personal loans. The paper shows that empirical results and tiny fluctuations in interest rates would have an enormous impact on the value of the personal mortgage loans consisting of embedded options. Thus it is recommended that commercial banks should establish the rate pricing mechanism based on the Option-Adjusted-Spread model and other ways, to achieve the purpose of the overall control of interest rate risk.