Release Time:2022-07-01  Hits:

Indexed by: Journal Article

Date of Publication: 2022-06-29

Journal: 系统工程理论与实践

Volume: 38

Issue: 6

Page Number: 1387-1403

ISSN: 1000-6788

Abstract: This paper applied the default intensity parameters to measure the credit risk premium of cash flow. On the basis of Macaulay duration, credit duration measure model and credit duration immune condition were established, which can control interest rate risk and credit risk. The innovations and characters of this paper: Firstly, according to simplication pricing theory, credit risk premium of cash flow was calculated by default intensity and loss given default. By the discount rate containing credit risk premium changing the discount rate in Macaulay duration, credit duration measure model was established, which perfects Macaulay duration and improves the precision of the interest risk immunization. Secondly, by credit duration reflecting credit risk and interest rate risk, the relation function of credit duration gap and net value of bank was constructed. By the immunity condition which is credit duration gap equal to zero, optimization model of asset-liability portfolio was established. It changes the disadvantage of Macaulay duration immunity which only can control interest rate risk, but cannot control credit risk. Thirdly, according to Cox regression model, default intensity is the product of benchmark default intensity and risk factors of the enterprise itself. By this model, this paper tted out default intensities at dierent time and calculated credit risk premiums at different time. It changes credit risk duration in existing research cannot reflect the fact of credit risk premiums changing as time. The comparison result shows: when market interest rate changes, model of this paper can accurately immune interest rate risk, but Macaulay duration immunity condition cannot immune interest rate risk and bank net will loss. © 2018, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.

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