浠€涔堟槸铻嶈祫缂哄彛妯″瀷锛?
銆€銆€铻嶈祫缂哄彛妯″瀷锛團unding Gap Model锛夋槸璧勪骇璐熷€虹鐞嗗熀鏈柟娉曚箣涓€銆傞摱琛岃繍鐢ㄨ妯″瀷鐨勭洰鐨勶紝鏄牴鎹鍒╃巼娉㈠姩瓒嬪娍鐨勯娴嬶紝鐩告満璋冩暣鍒╃巼鏁忔劅鎬ц祫閲戠殑閰嶇疆缁撴瀯锛屼互瀹炵幇鍒╂鼎鏈€澶у寲鐩爣鎴栨墿澶у噣鍒╂伅宸鐜囥€?
銆€銆€鏈夊叧铻嶈祫缂哄彛妯″瀷鐨勬湳璇拰瀹氫箟
銆€銆€1銆佸埄鐜囨晱鎰熸€ц祫閲戙€傚埄鐜囨晱鎰熸€ц祫閲戯紙Rate-Sensitive Fund锛変篃绉版诞鍔ㄥ埄鐜囨垨鍙彉鍒╃巼璧勯噾锛屾剰鎸囧湪涓€瀹氭湡闂村唴灞曟湡鎴栨牴鎹崗璁寜甯傚満鍒╃巼瀹氭湡閲嶆柊瀹氫环鐨勮祫浜ф垨璐熷€恒€傚埄鐜囨晱鎰熸€ц祫浜SA锛圧ate- Sensitive Asset锛夊拰鍒╃巼鏁忔劅鎬ц礋鍊篟SL锛圧ate-Sensitive Liability锛夌殑瀹氫环鍩虹鏄彲渚涢€夋嫨鐨勮揣甯佸競鍦哄熀鍑嗗埄鐜囷紝涓昏鏈夊悓涓氭媶鍊熷埄鐜囥€佸浗搴撳埜鍒╃巼銆侀摱琛屼紭鎯犺捶娆惧埄鐜囥€佸ぇ閾惰鐨勫ぇ棰濆彲杞瀛樺崟鍒╃巼绛夈€傚埄鐜囨晱鎰熸€ц祫閲戦櫎浜嗘寜涓婅堪鍒╃巼瀹氭湡瀹氫环鐨勯」鐩锛岃繕搴斿寘鎷叾鏈潵鐜伴噾娴佷細闅忕潃甯傚満鍒╃巼鑰屾敼鍙樼殑鍚勯」璧勯噾椤圭洰銆傜‘瀹氫负鍒╃巼鏁忔劅鎬ц祫浜ф垨璐熷€虹殑椤圭洰锛屽叾閲嶆柊瀹氫环鐨勯搴︾敱鍚勯摱琛岃嚜琛屾帉鎻★紝濡傛瘡鍗婂勾涓€娆′互涓婄殑鎴栨瘡瀛ｄ竴娆′互涓婄殑涓嶇瓑銆?
銆€銆€2銆佽瀺璧勭己鍙ｃ€傝瀺璧勭己鍙G锛團unding Gap锛夌敱鍒╃巼鏁忔劅鎬ц祫浜т笌鍒╃巼鏁忔劅鎬ц礋鍊轰箣闂寸殑宸鏉ヨ〃绀猴細
銆€銆€FG = RSA 鈥?RSL
銆€銆€寰堟樉鐒讹紝铻嶈祫缂哄彛鏈夐浂缂哄彛銆佹缂哄彛鍜岃礋缂哄彛涓夌鐘舵€併€?
銆€銆€3銆佹晱鎰熸€ф瘮鐜囥€傛晱鎰熸€ф瘮鐜嘢R锛圫ensitive Ratio锛夋槸铻嶈祫缂哄彛鐨勫彟涓€绉嶈〃杈撅紝瀹冩槸鍒╃巼鏁忔劅鎬ц祫浜т笌鍒╃巼鏁忔劅鎬ц礋鍊轰箣闂寸殑姣旂巼鍏崇郴锛岀敤鍏紡鍙〃杈句负锛?
銆€銆€RA = RSA / RSL
銆€銆€鏁忔劅鎬ф瘮鐜囦笌铻嶈祫缂哄彛鏈変笁绉嶅尮閰嶇殑鍩烘湰鍏崇郴锛屽綋铻嶈祫缂哄彛涓洪浂鏃讹紝鏁忔劅鎬ф瘮鐜囧€间负1锛涘綋铻嶈祫缂哄彛涓烘鏁版椂锛屾晱鎰熸€ф瘮鐜囧€煎ぇ浜?锛涘綋铻嶈祫缂哄彛涓鸿礋鏁版椂锛屾晱鎰熸€ф瘮鐜囧€煎皬浜?銆?
銆€銆€4銆佹晱鎰熸€ц祫閲戠己鍙ｏ紙鎴栫О铻嶈祫缂哄彛锛夊閾惰浜х敓鐨勯闄┿€傚綋閾惰璧勯噾閰嶇疆澶勪簬闆剁己鍙ｆ椂锛屽埄鐜囨晱鎰熸€ц祫浜х瓑浜庡埄鐜囨晱鎰熸€ц礋鍊猴紝鍒╃巼椋庨櫓澶勪簬鈥滃厤鐤€濈姸鎬侊紱褰撳浜庢缂哄彛鏃讹紝鍒╃巼鏁忔劅鎬ц祫浜уぇ浜庡埄鐜囨晱鎰熸€ц礋鍊猴紝澶勪簬鍒╃巼鏁炲彛鐨勮閮ㄥ垎璧勯噾浣垮緱閾惰鍦ㄥ埄鐜囦笂鍗囨椂鑾峰埄锛屽埄鐜囦笅闄嶆椂鍒╃泭鍙楁崯锛涘綋澶勪簬璐熺己鍙ｆ椂锛屽埄鐜囨晱鎰熸€ц祫浜у皬浜庡埄鐜囨晱鎰熸€ц礋鍊猴紝鍒╃巼椋庨櫓鏁炲彛閮ㄥ垎浣垮緱閾惰鍦ㄥ埄鐜囦笂鍗囨椂鍒╃泭鍙楁崯锛屽埄鐜囦笅闄嶆椂鑾峰埄銆?
