不免疫卻活得更好: 一個全新的資產負債管理策略

Abstract

本研究提出一個全新的資產負債管理模型，是第一個完整考慮管理者對利率的預期、金融機構承擔風險的能力、以及調整成本，此三項重要因素而發展出來的新策略。不像傳統免疫策略的難以執行，這個新的資產負債管理模型不但能推導出最佳存續期間缺口的公式解(不免疫策略)，以方便實務應用，更能為各種資產負債管理行為提供經濟意含的解釋。除此之外，以本模型進行多期的數值模擬，不但能夠整合價格風險與信用風險，引出不免疫卻能活得更好的策略，更可對於政府監理、機會成本、流動性影響等三項重要的議題提供新的洞見。

This study firstly develops a new ALM model that simultaneously takes into account three important factors, the managers’ view, the financial institution’s ability to take risk, and the adjustment costs of ALM. Unlike models of naïve immunization strategy, our new ALM model not only offers an analytical formula to calculate the optimal duration gap for practical uses (an optimal non-immunization strategy), but also provides economic explanations for a wide range of ALM behaviors. In addition, multi-period simulations based on this new ALM model integrate price risk and credit risk, and shed insights on the government’s supervisory guidance, opportunity cost of conflicting corporate policies, and liquidity effect.