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Assumed bond structure-based expiration validity test method

A testing method and effective technology, applied in the fields of instruments, finance, and data processing applications, etc., can solve problems such as large fluctuations in bank profit and loss statements and failure to reflect the risk hedging effect from the perspective of risk management, so as to improve the level of risk management and accurately reflect The effect of risk hedging and the effect of facilitating effective development

Pending Publication Date: 2020-03-27
BANK OF COMMUNICATIONS
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  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

This accounting difference will lead to large fluctuations in the bank's profit and loss statement, which cannot reflect the risk hedging effect from the perspective of risk management

Method used

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  • Assumed bond structure-based expiration validity test method
  • Assumed bond structure-based expiration validity test method
  • Assumed bond structure-based expiration validity test method

Examples

Experimental program
Comparison scheme
Effect test

Embodiment

[0079] Suppose you hold a fixed-rate bond Bond1 with a face value of RMB 1,000, a coupon rate of 10%, and a semi-annual interest rate. The remaining period is two years, and the discount curve is SHIBOR (Shanghai Interbank Offered Rate). The bond cash flow statement can be calculated as shown in Table 1 (the market interest rate is assumed):

[0080] Table 1: Hypothetical Bond Cash Flow Statement

[0081]

[0082] Among them, Par represents the face value, Coupon rate represents the coupon rate, Interest Day represents the interest date, Daycount represents the remaining maturity, Flow represents the cash flow, SHIBOR Rate represents the Shanghai Interbank Offered Rate, PV represents the corresponding calculation amount, and Bond Yield represents the bond yield .

[0083] In order to hedge against the risk of market interest rate fluctuations implied by holding the fixed-rate bond, the trader entered into an interest rate swap transaction IRS1, the information being RMB 1,...

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Abstract

The invention relates to an assumed bond structure-based expiration validity test method, which comprises the following steps: 1, collecting market data, and setting a preliminary bond structure; 2, calculating a bond fair value change in combination with market data and a set preliminary bond structure; 3, calculating interest rate exchange fair value change in combination with market data and aset preliminary bond structure; and 4, further obtaining an effective expiration proportion according to the calculated bond fair value change and interest rate exchange fair value change, and furtherjudging in combination with international accounting criterion requirements to obtain an expiration validity test result. Compared with the prior art, by constructing the assumed bond optimization expiration validity test method, the expiration validity test passing rate can be improved, expiration accounting can be effectively carried out, the risk hedging effect is accurately reflected, and thebank risk management level is improved.

Description

technical field [0001] The invention relates to a hedging effectiveness testing method, in particular to a hedging effectiveness testing method based on hypothetical bond construction. Background technique [0002] In recent years, the scale of capital business of domestic banks has gradually expanded, and the types of capital products have become more and more abundant. The rapid development of the capital business market has brought great challenges to bank risk management. In order to deal with various market risks implied in capital products, banks usually use derivatives instruments with strong market liquidity for risk hedging. For example, the fixed-rate bonds held in the investment portfolio face the market interest rate risk that the rise in interest rates leads to price declines. Traders usually do interest rate swap transactions in the market to convert their fixed-rate assets into floating-rate assets. Floating rate assets will make profits in an environment o...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06G06Q40/06
CPCG06Q10/0635G06Q40/06
Inventor 姚福鑫汪娜宋蕊戴羊羊杨雨泽郑天齐
Owner BANK OF COMMUNICATIONS
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