CN201607771U - Duration data calculation system for monitoring interest risk - Google Patents
Duration data calculation system for monitoring interest risk Download PDFInfo
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- CN201607771U CN201607771U CN2010201608473U CN201020160847U CN201607771U CN 201607771 U CN201607771 U CN 201607771U CN 2010201608473 U CN2010201608473 U CN 2010201608473U CN 201020160847 U CN201020160847 U CN 201020160847U CN 201607771 U CN201607771 U CN 201607771U
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Abstract
The utility model relates to a duration data calculation system for monitoring interest risk, which comprises a data acquisition server, a business terminal, a duration analysis server and a database server. The duration analysis server is respectively connected with the data acquisition server, the business terminal and the database server. The data acquisition server comprises a calculation date judgment device, a business data acquisition device, a general ledger data acquisition device, a prepayment data acquisition device and an acquisition data transmitter. The business terminal comprises a parameter editor, a data importing device, a command input device, a feedback result display device and an interactive data communication device. The duration analysis server comprises a calculation data distribution device, a cash flow data processing device, a duration data processing device, an interactive data processing device and a feedback result transmitter. The database server comprises a cash flow processing result storage device, a duration processing result storage device and a parameter storage device.
Description
Technical field
The utility model is about bank rate risk monitoring and control technical field, and particularly the interest rate risk monitoring technique about utilizing phase table key element of a specified duration to carry out is that a kind of issue of a specified duration of interest rate risk monitoring that carries out is according to metering system concretely.
Background technology
In the bank rate risk management system, the phase measurement Law is important risk analysis method for a long time.Phase is meant a kind of weighted mean expiration time of financial instrument present worth for a long time, also claims the extended period (Duration).It is the cash flow that takes place with following time of this financial instrument, discounts into present worth according to present earning rate, sues for peace after multiply by its time limit apart from the date of expiry with every present worth again, then the numerical value that obtains divided by the present price of this financial instrument with this summation.
Phase has surmounted the notion of time for a long time, and the investor is used for weighing the susceptibility of the marketable value of financial instrument to the interest rate variation with it, is a kind of important interest rate risk sensitivity indexes.Use phase method of a specified duration, have following effect: (1) can weigh the long term interests rate risk better, considers mainly that with interest rate gap recent interest rate variation is different, and the phase can be included the interest rate risk in each stage in limit of consideration for a long time; To be scattered in the cash flow that takes place a plurality of periods and be summed up as a numeral, be convenient to carry out collecting and comparing between different product at different times and interbank.(2) can be qualitative or the influence that is worth for banking market of quantitative description fluctuation of interest rate, it is clean that the phase can be used to qualitatively judge the influence of fluctuation of interest rate to marketable value for a long time; The phase can further calculate fluctuation of interest rate to the marketable value effect for a long time to adjust the back.
At present only calculated the phase of a specified duration in the banking risk management system, also do not realized calculating the phase of a specified duration of phase of a specified duration of the professional kind of the full subject of bank and different institutions, different product, the combination of different residue time limit at a kind of product of bond.
And in the bank rate risk monitoring and control, product beyond the bonds such as the loan that bank manages, financing, bill, deposit faces interest rate risk too, the phase of a specified duration of metering different institutions, different product, different residue time limit and combination thereof is the reality needs of risk monitoring and control.
The utility model content
The utility model embodiment provides a kind of issue of a specified duration that carries out the interest rate risk monitoring according to metering system, to solve the phase computational problem of a specified duration of professional kind of the full subject of bank and different institutions, different product, the combination of different residue time limit.
The purpose of this utility model is, provides a kind of issue of a specified duration that carries out the interest rate risk monitoring according to metering system, and this issue of a specified duration comprises according to metering system: data acquisition server, service terminal, phase Analysis server and database server for a long time; The phase Analysis server is connected with data acquisition server, service terminal and database server respectively for a long time;
Data acquisition server comprises: be used to judge whether current system clock is the metering date judgment means on metering date phase default of a specified duration; Be used to gather the service data acquisition device of account data and transaction data; Be used to gather the general ledger data collector of general ledger data; Be used to gather refund the in advance data collector of refund in advance of data of housing loan; Be used for business datum, general ledger data and the housing loan of the gathering data of refunding are in advance sent to the image data dispensing device of described phase Analysis server of a specified duration;
Service terminal comprises: be used to provide the maintenance parameters surface and interface to go forward side by side parameter editing device that line parameter is provided with; Be used to provide the manual data interface data importing device that line data imports of going forward side by side that imports; The instruction inputting device that is used to provide the user instruction inputting interface to go forward side by side the input of market scape analysis instruction; Be used for feedback result display device that the scenario analysis result is shown; Be used for sending parameter list, manual importing data and user instruction to phase Analysis server of a specified duration, and receive the scenario analysis result's of phase Analysis server feedback of a specified duration interaction data communicator;
The phase Analysis server comprises for a long time: the continuous data distributor that is used to discern and distribute described image data and interaction data; Be used for carrying out cash flow and calculate, generate the cash flow data processing equipment of cash flow calculation result data according to image data; Be used for that the cash flow calculation result data is carried out the phase of a specified duration according to the purpose set of a plurality of sections and calculate, the issue of a specified duration that generates product phase calculation result data of a specified duration is according to treating apparatus; Be used for generating the susceptibility that each product market value changes interest rate under the corresponding sight, and generate scenario analysis result's interaction data treating apparatus according to susceptibility according to the phase calculation result data of a specified duration corresponding with interaction data; Be used for the scenario analysis result is fed back to the feedback result dispensing device of service terminal;
Database server comprises: the cash flow treatment that is used to store cash flow result of calculation table is memory storage as a result; Be used to store the phase result memory storage of a specified duration of phase result of calculation table of a specified duration; The parameter memory storage that is used for the stored parameter table.
The beneficial effects of the utility model are, by bank's full subject miscellaneous service kind being carried out phase metering of a specified duration, and carry out the interest rate sensitivity analysis, realized that bank carries out the function of Risk Management of Interest Rate to the miscellaneous service kind, has improved the efficient and the level of bank rate risk management.
The utility model can be according to the requirement of Risk Management of Interest Rate, the product that phase metering of a specified duration is set flexibly (is an item code, be the combination of one or more subject codes), and can carry out phase metering of a specified duration according to set product, comprise and carrying out: deposit, loan, bond, financing, bill, the phase metering of a specified duration of the professional kind of the full subject of banks such as internal finance transaction, thereby realize different product, the different product combination, different residue time limit combinations, the phase metering of a specified duration of different institutions, realized that bank carries out the purpose of Risk Management of Interest Rate to wholly-owned product debt project, has greatly improved the efficient and the accuracy of bank rate risk management.
The utility model can receive user's various sight instruction carrying out scenario analysiss, it is the susceptibility metering system that a kind of marketable value accurately changes interest rate, carry out the scenario analysis that marketable value changes interest rate by the result of calculation of utilizing the phase of a specified duration, can carry out the interest rate situation of change neatly according to the demand of Risk Management of Interest Rate and estimate, improve the dirigibility and the reliability of bank rate risk management.
Description of drawings
In order to be illustrated more clearly in the utility model embodiment or technical scheme of the prior art, to do to introduce simply to the accompanying drawing of required use in embodiment or the description of the Prior Art below, apparently, accompanying drawing in describing below only is embodiment more of the present utility model, for those skilled in the art, under the prerequisite of not paying creative work, can also obtain other accompanying drawing according to these accompanying drawings.
Fig. 1 carries out the annexation figure of the issue of a specified duration of interest rate risk monitoring according to metering system for the utility model;
Fig. 2 is the structured flowchart of the utility model data acquisition server;
Fig. 3 is the structured flowchart of the utility model service terminal;
Fig. 4 is the structured flowchart of the utility model phase Analysis server of a specified duration;
Fig. 5 is the structured flowchart of the utility model database server;
Fig. 6 carries out the workflow diagram of phase metering of a specified duration to interest rate risk for the utility model;
Fig. 7 is the utility model cash flow evaluation work flow process figure;
Fig. 8 is the workflow diagram that calculates the utility model product phase of a specified duration;
Fig. 9 is the workflow diagram of the utility model scenario analysis.
Embodiment
Below in conjunction with the accompanying drawing among the utility model embodiment, the technical scheme among the utility model embodiment is clearly and completely described, obviously, described embodiment only is the utility model part embodiment, rather than whole embodiment.Based on the embodiment in the utility model, those of ordinary skills are not making the every other embodiment that is obtained under the creative work prerequisite, all belong to the scope of the utility model protection.
As shown in Figure 1, for the issue of a specified duration that carries out interest rate risk monitoring of present embodiment according to metering system, this issue of a specified duration comprises according to metering system: data acquisition server 100, service terminal 200, phase Analysis server 300 and database server 400 for a long time; Phase Analysis server 300 is connected with data acquisition server 100, service terminal 200 and database server 400 by LAN (Local Area Network) or wide area network for a long time.
As shown in Figure 2, data acquisition server 100 comprises: be used to judge whether current system clock is the metering date judgment means 101 on metering date phase default of a specified duration; Be used to gather the service data acquisition device 102 of account data and transaction data; Be used to gather the general ledger data collector 103 of general ledger data; Be used to gather refund the in advance data collector of refund in advance 104 of data of housing loan; Be used for business datum, general ledger data and the housing loan of the gathering data of refunding are in advance sent to the image data dispensing device 105 of described phase Analysis server of a specified duration.
As shown in Figure 3, service terminal 200 can be a PC, and service terminal 200 comprises: be used to provide the maintenance parameters surface and interface to go forward side by side parameter editing device 201 that line parameter is provided with; Be used to provide the manual data interface data importing device 202 that line data imports of going forward side by side that imports; The instruction inputting device 203 that is used to provide the user instruction inputting interface to go forward side by side the input of market scape analysis instruction; Be used for feedback result display device 204 that the scenario analysis result is shown; Be used for sending parameter list, manual importing data and user instruction to phase Analysis server of a specified duration, and receive the scenario analysis result's of phase Analysis server feedback of a specified duration interaction data communicator 205.
As shown in Figure 4, phase Analysis server 300 comprises for a long time: the continuous data distributor 301 that is used to discern and distribute described image data and interaction data; Be used for carrying out cash flow and calculate, generate the cash flow data processing equipment 302 of cash flow calculation result data according to image data; Be used for that the cash flow calculation result data is carried out the phase of a specified duration according to the purpose set of a plurality of sections and calculate, the issue of a specified duration that generates product phase calculation result data of a specified duration is according to treating apparatus 303; Be used for generating the susceptibility that each product market value changes interest rate under the corresponding sight, and generate scenario analysis result's interaction data treating apparatus 304 according to susceptibility according to the phase calculation result data of a specified duration corresponding with interaction data; Be used for the scenario analysis result is fed back to the feedback result dispensing device 305 of service terminal.
As shown in Figure 5, database server 400 comprises: the cash flow treatment that is used to store cash flow result of calculation table is memory storage 401 as a result; Be used to store the phase result memory storage 402 of a specified duration of phase result of calculation table of a specified duration; The parameter memory storage 403 that is used for the stored parameter table.
The image data that data acquisition server 100 collects comprises: deposit data, loan data, bill and internal finance transaction data, bond and financing data, general ledger data, housing loan data and the adjusted PSA speed data of refunding in advance of refunding in advance.Wherein:
The deposit data can be stored in the deposit tables of data, and the field of deposit tables of data comprises: Institution Code, Currency Type, subject, date of value, pause of breathing date, about unloading phase, time limit, capital reimbursemen mode, capital payment frequency, interest payment frequency, current remaining sum, Data Source sign and Data Date.The deposit tables of data can be stored in the database server.
Loan data can be stored in the loan data table, and the field of loan data table comprises: Institution Code, Currency Type, subject, granting day, date of expiry, time limit, interest rate adjustment mode, interest rate adjustment frequency, capital reimbursemen mode, capital payment frequency, interest payment frequency, overdue loan sign, the sign that whether bears interest, debit interest sign, the issue that exceeds the time limit, the overdue loan amount of money, current remaining sum, Data Source identify and Data Date.The loan data table can be stored in the database server.
Bill and internal finance transaction data can be stored in bill and the internal finance transaction data table, and the field of bill and internal finance transaction data table comprises: Institution Code, Currency Type, subject, date of value, due date, time limit, capital reimbursemen mode, capital payment frequency, interest payment frequency, dealing money, Data Source sign and Data Date.Bill and internal finance transaction data table can be stored in the database server.
Bond and financing data can be stored in bond and the financing tables of data, and the field of bond and financing tables of data comprises: Institution Code, Currency Type, subject, date of expiry, time limit, interest rate adjustment mode, interest rate adjustment frequency, capital reimbursemen mode, interest payment frequency, current remaining sum, Data Source sign and Data Date.Bond and financing tables of data can be stored in the database server.
The general ledger data can be stored in the general ledger tables of data, and the field of general ledger tables of data comprises: Institution Code, Currency Type, subject, this day balance due, this day credit balance, Data Source sign and Data Date.The general ledger tables of data can be stored in the database server.
The housing loan data of refunding in advance can be stored in housing loan and refund in advance in the tables of data, and refund the in advance field of tables of data of housing loan comprises: Institution Code, Currency Type, subject, refund date, the amount of money and the Data Source sign of refunding in advance in advance.The housing loan data of refunding in advance can be stored in the database server.
The adjusted PSA speed data of refunding in advance can be stored in adjusted PSA and refunds in advance in the speed data table, and refund the in advance field of speed data table of adjusted PSA comprises: ground area code, refund issue, subject and advanced redemption ratio.The adjusted PSA speed data of refunding in advance can be stored in the database server.
The parameter list that needs the user to safeguard by service terminal comprises: the phase application rule is judged table (seeing Table 1), subject attribute definition parameter list (seeing Table 2), project-yield curve contextual definition table (seeing Table 3), yield curve definition list (seeing Table 4) and project-subject contextual definition table (seeing Table 5) for a long time.
Table 1: the phase application rule is judged table for a long time
| Time limit | Phase application rule of a specified duration | The marketable value computing method |
| Determine | Rule 1 | The DCF sum |
| Uncertain | Rule 2 | Book value |
Table 2: subject attribute definition parameter list
| The territory is described | Explanation |
| Subject code | General ledger subject number |
| Debt-credit character attribute | The credit side is taken place the debtor and creditor generation is taken place in the debit |
| Analytic attribute | 1-combined data 2-detailed data |
| The responsive attribute of interest rate | The non-interest rate sensitivity of the responsive 2-of 1-interest rate |
| Measurement type | Subject 2-had jurisdiction over interior subject in lines in 1-was capable |
Table 3: project-yield curve contextual definition table
| The territory is described | Explanation |
| Item code | Also claiming product, is the purpose set of one or more sections |
| The yield curve code | Indicate the yield curve that this project is suitable for |
Table 4: yield curve definition list
| The territory is described | Explanation |
| The yield curve code | Indicate different yield curves |
| The time limit station code | Indicate the time limit node on the yield curve |
| The earning rate value | Indicate the earning rate value of this time limit node correspondence |
Table 5: project-subject contextual definition table
| The territory is described | Explanation |
| Item code | Also claiming product, is the purpose set of one or more sections |
| The territory is described | Explanation |
| Subject code | Subject is a minimum professional kind unit in analyzing the phase of a specified duration, can collect project by the corresponding relation with project |
| Make up phase type of a specified duration | 0, non-combination, 1, product mix, 2, residue time limit combination, 3, head office, 4, one-level branch, |
| Item code | When combination phase type of a specified duration when be " 1, product mix ", visit the item code inventory that this field acquisition product mix comprises.Can comprise projects code except that this item code in the table 15, also claim product. |
| The residue time limit | When combination phase type of a specified duration when be " 2, residue time limit ", visit the value that this field obtains to remain the time limit. |
Table 6: manual data table
| The territory is described | Explanation |
| Institution Code | Sub-agencies (area, site) is analyzed |
| Currency Type | Divide the Currency Type analysis |
| Subject | General ledger subject number |
| Date of expiry | Be used for calculating and reset valency day |
| Time limit | In the time limit of this transaction, be used for the judgement of phase application rule of a specified duration |
| The interest rate adjustment mode | 1, fixes 2, unsteady |
| The interest rate adjustment frequency | The adjustment mode is under the situation of floating: 1, uncertain, and 2, fixing day, 3, monthly, 4, quarterly, 5, by half a year, 6, by nine months, 7, per year. |
| The territory is described | Explanation |
| Capital reimbursemen mode | 1, disposable |
| The capital payment frequency | 1, one-time payment |
| The interest payment frequency | 01, paid interest in 1 year once, 02, semi annual interest payment, 03, expire and repay capital with interest, 04, monthly pay interest, 05-pays interest quarterly. |
| Current remaining sum | Be used to calculate the responsive amount of money of interest rate |
| The Data Source sign | The 8-manual data |
| Data Date | Indicate the statistics date of this record |
The data that the user can import by hand by service terminal 200 are seen manual data table (table 6).The data area of above-mentioned parameter table can be done further to expand according to the needs of business.
Main control unit, be responsible for the received data of identification, the data of data collector collection and service terminal collection manual imported tables of data be distributed to cash flow computing module, product phase computing unit of a specified duration or scenario analysis unit and carry out analytical calculation, the parameter maintenance information stores of being responsible for service terminal is collected is in data storage device.
The cash flow computing module is responsible for that the data that collect are carried out cash flow and is calculated, and carries out phase application rule of a specified duration and the anticipation of marketable value computing method, generates cash flow result of calculation table (seeing Table 7), stores in the data storage device.
(1) cash flow rudimentary algorithm, the basic calculation of cash flow is according to fields such as the capital reimbursemen mode in the tables of data (seeing Table 1-5) of data collector, service terminal collection, capital reimbursemen frequency, interest payment frequency, date of value, due date, interest rate, current remaining sums, calculate following each phase cash flow, cash flow time limit section, apart from data such as this year number, residue time limits, every account form is as follows:
" cash flow " equals this project the capital payment or the interest payment amount of money of following each phase;
" cash flow time limit section " equals the time limit section under the fate that the date of payment-statement dates of corresponding principal amount (or interest amount) obtains;
" apart from number in this year " equals fate/365 that the date of payment-statement dates of corresponding principal amount (or interest amount) obtains;
" residue time limit " equals the fate that due date-statement dates obtains.
For example: someone's deposit account, date of value 2009-01-01, due date 2010-01-01, capital reimbursemen mode is the disposable repayment of principal, the interest payment frequency is disposable payment of interest, annual rate is 1%, and current remaining sum is 1000 yuan, and statement dates is 2009-11-10, then this account will have 2 cash flows to take place future, be respectively:
Cash flow for the first time: capital date of payment: 2010-01-01, capital payment: 1000 yuan
Cash flow for the second time: interest payment date: 2010-01-01, the interest payment amount of money: 10 yuan
Cash flow is inserted cash flow computing module table (seeing Table 7) as a result according to following way: the cash flow that takes place on same mechanism code, Currency Type, the subject code with a record insert the cash flow, cash flow time limit section of table 7, apart from digital section in this year, wherein the cash flow that takes place of different time is separated (the explanation row that see table 8 for details) with " | ".
(2) purchase the cash flow algorithm that (mortgage) provides a loan for individual house
Purchase (mortgage) loan for individual house, above-mentioned cash flow calculate finish after, each issue capital payment also will be added this phase and be shifted to an earlier date amount to pay as each issue " cash flow ".Wherein the computing method of " this phase shifts to an earlier date amount to pay " are as follows:
This phase shifts to an earlier date Replacement of principal * these phase advanced redemption ratio/12 of amount to pay=not
Wherein: Replacement of principal=current remaining sum-SUM (this phase before each phase amount to pay) not
" this phase advanced redemption ratio " obtains by the velometer of refunding in advance of adjusted PSA in the visit data memory storage." this phase advanced redemption ratio " is to be drawn by PSA (Public Securities Association) Model Calculation, the PSA model of refunding in advance is an in advance refund velocity function relevant with the refund issue, be the standard of the industry-wide adoption model of refunding in advance, be used for correction the metering of loan breach.
(3) phase application rule and marketable value computing method are judged for a long time
After above-mentioned cash flow calculates end, carry out the judgement of phase application rule of a specified duration and marketable value computing method.At first the phase application rule of a specified duration of visit data memory storage is judged table (seeing Table 1), according to the feature of the time limit in the tables of data (seeing Table 2-5), interest rate adjustment mode, capital mode of satisfaction, interest payment frequency field, judge phase application rule of a specified duration and marketable value computing method then.If the frequency field in the tables of data shows that these data have fixed term, then use phase computation rule 1 of a specified duration, the marketable value computing method are the DCF sum; If no frequency field or frequency field be not for there being fixed term in the tables of data, as: the data in the ledger data table do not have to show the field in fixing time limit, then use phase computation rule 2 of a specified duration, and the marketable value computing method are for equaling book value.
After aforementioned calculation finished, it is as follows that this module generates cash flow result of calculation table (table 7), and be saved in the data storage device.
Table 7: cash flow result of calculation table
| The territory is described | Explanation |
| Institution Code | Directly obtain from each data-interface |
| Currency Type | Directly obtain from each data-interface |
| Subject code | Directly obtain from each data-interface |
| Current remaining sum | Directly obtain from each data-interface |
| Cash flow | Represent this project the principal amount stream and the interest amount stream in future, arrange, separate with " | " according to time sequencing |
| The territory is described | Explanation |
| Cash flow time limit section | Time limit section under the fate that the date of payment-statement dates of principal amount (or interest amount) obtains is arranged, is separated with " | " according to time sequencing |
| Apart from number in this year | Fate/365 that the date of payment-statement dates of principal amount (or interest amount) obtains are arranged, are separated with " | " according to time sequencing |
| The residue time limit | The fate that due date-statement dates obtains |
| Phase rule of a specified duration | According to (table 8) the of a specified duration rule numbers that draws of phase application rule and marketable value computing method judgement table |
| Data Date | Indicate the statistics date of this record |
| The Data Source sign | The Data Source coding |
Product phase computing module of a specified duration is responsible for the data to cash flow result of calculation table (table 7), carries out the calculating of phase of a specified duration according to the purpose set of one or more sections, and stores in the data storage device.Since have certain predicable between one or more subjects, corresponding same item code, and therefore the phase of a specified duration of calculating claims product the phase of a specified duration again.
At first, visit project-subject contextual definition table (table 5) data to need calculate the pairing subject code of item code of phase of a specified duration, follow-uply can choose the cash flow data according to the subject code of each product.Then, the visit data memory storage obtains the data of cash flow result of calculation table (table 7), and cash flow result of calculation table (table 7) is carried out pre-service.For combination phase type of a specified duration in project-subject contextual definition table (table 5) be the product of " 0, non-combination ", can directly use cash flow result of calculation table (table 7) to carry out phase calculating of a specified duration.
When calculating phase of a specified duration of head office or one-level branch, need to reject earlier the insider transaction subject.For combination phase type of a specified duration in project-subject contextual definition table (table 5) is the product of " 3, head office ", visit subject attribute definition parameter list (table 2), obtain " subject code " that " measurement type " be " 1, row in subject " and " 2, branch have jurisdiction over interior subject ", (table 7) rejects these subject codes from cash flow result of calculation table, generate cash flow result of calculation temporary table one, be used to carry out the phase calculating of a specified duration of head office's product.
For combination phase type of a specified duration in project-subject contextual definition table (table 5) be the product of " 4, one-level in lines ", visit subject attribute definition parameter list (table 2), obtain " subject code " that " measurement type " be " 2, the interior subject of branch's linchpin ", from cash flow result of calculation table (table 7), reject these subject codes, generate cash flow result of calculation temporary table and, the phase of a specified duration that is used to carry out one-level branch product calculates.
Next, with the data in cash flow result of calculation table (table 7), cash flow result of calculation temporary table one, the cash flow result of calculation temporary table that, carry out the phase of a specified duration respectively according to the difference of phase rule of a specified duration and calculate.If " phase rule for a long time " is " rule 1 ", then use the formula in (1) to calculate the phase of a specified duration, if " phase rule for a long time " is " rule 2 ", then use the formula in (2) to calculate the phase of a specified duration.
(1) phase computation rule 1 (calculating has the phase of a specified duration (D) and the marketable value (MV) of fixed term product) of a specified duration:
Marketable value (MV)=V=∑ PV (Ci)
Wherein:
PV (Ci)=Ci/ (1+yi) ti is the DCF of product i time period;
Ci: this product is taken from the cash flow of table 7 at the cash flow of i time period;
Yi: this product is in the earning rate of i time period, obtains according to the earning rate value of the subject code in the table 7, cash flow time limit Duan Congbiao 4;
Ti: this product i time period apart from statement dates the year number, take from table 7 apart from number in this year;
V=∑ PV (Ci) is the DCF sum of product;
Calculate and finish, forward step (3) to.
(2) phase computation rule 2 (calculating the phase of a specified duration (D) and the marketable value (MV) of no fixed term product) of a specified duration:
Phase (D)=0 of a specified duration;
Marketable value (MV)=book value, " current remaining sum " field of getting table 7;
Calculate and finish, forward step (3) to.
(3) Modified duration (D of counting yield
*) and basic point value (PVBP):
At first, use the yield to maturity (Y) of iteration Method product:
Get iteration initial value: X0=0, carry out iteration according to formula:
k＝0，1，2......
In the iterative process, as taking place | g (X
K+1) | (desirable ε=1e-5) then stop iteration obtaining sequence { X0......Xk, Xk+1} to＜ε.
Wherein,
Ci: product is taken from the cash flow of table 7 at the cash flow of i time period;
Yi: the earning rate of i time period, obtain according to the earning rate value of the subject code in the table 7, cash flow time limit Duan Congbiao 4;
N: be the maximal value of i, promptly 362;
Xk+1 when stopping iteration is exactly yield to maturity Y.
Then, Modified duration and the basic point according to yield to maturity Y counting yield is worth:
Modified duration (D
*)=D/ (1+Y);
Basic point value (PVBP)=-D
** 0.01% * marketable value (MV);
(4) generate product phase of a specified duration result of calculation table (as following table 8), and be kept in the data storage device.
Table 8: product phase of a specified duration result of calculation table
| The territory is described | Explanation |
| Institution Code | Directly obtain from table 8 |
| Currency Type | Directly obtain from table 8 |
| Item code | Also claiming product, is the purpose set of one or more sections.Obtain item code according to the subject in the data-interface from table 15 project-subject contextual definition table |
| The factor of refunding in advance | 0-denys that 1-is the factor of refunding in advance of whether having been considered of this result of calculation of expression |
| Book balance | Represent the book balance that this project is present, directly the current remaining sum from table 8 obtains |
| The residue time limit | Represent the residue time limit that this project is present, directly get the residue time limit of table 8 |
| Phase of a specified duration | Represent the phase of a specified duration (D) that this project is present |
| Modified duration | Represent the Modified duration (D that this project is present *) |
| Basic point is worth | Represent that the present basic point of this project is worth (PVBP) |
| Marketable value | Represent the present marketable value of this project (MV) |
| Data Date | Indicate the statistics date of this record |
At last, on the basis of product phase of a specified duration result of calculation table (table 8), make up the calculating of phase of a specified duration.
Make up phase type of a specified duration and can comprise multiple combined situation, for example: by the phase of a specified duration of a plurality of product mixes, by each different phases of a specified duration that remain time limit combination or the like.The calculating principle of various combination phases of a specified duration is identical, is weighted the weighted mean that obtains the making up phase of a specified duration by the marketable value of each ingredient (product, residue time limit etc.).For combination phase type of a specified duration is the product of " 1, product mix ", reads the item code inventory that " item code " field is obtained this product, chooses the phase of a specified duration of corresponding item code then in product phase of a specified duration result of calculation table (table 8); For combination phase type of a specified duration be the product of " 2, residue time limit make up ", read " residue time limit " field value, in product phase of a specified duration result of calculation table (table 8), choose the phase of a specified duration of the item code in identical residue time limit then, then according to the following formula calculation combination phase of a specified duration:
Make up the phase of a specified duration (DM)=∑ (Vi/VM) * Di
Wherein,
Each ingredient in the i representative combination (product, in lines, residue time limit etc.);
Vi is the marketable value of ingredient i;
VM=∑ Vi is the marketable value of combination M;
Di is the phase of a specified duration of ingredient i.
Calculate to finish, will make up the phase of a specified duration to register to product phase of a specified duration result of calculation table (table 8), and store in the data storage device.
The scenario analysis module, be responsible for receiving scenario analysis instruction from service terminal, according to context data such as Institution Code, Currency Type, the item code of user's input, the factor of whether considering to refund in advance, fluctuation of interest rate basic point numbers, visit product phase of a specified duration result of calculation table (table 8) obtains issue certificate of a specified duration, the marketable value of calculating under this sight changes, show the susceptibility of the marketable value of each product to the interest rate variation, important Monitoring Data as the bank rate risk monitoring and control, to the result of service terminal feedback scenario analysis, formula is as follows:
Changing back marketable value=former marketable value+marketable value changes
Wherein: marketable value variation=basic point is worth * fluctuation of interest rate basic point number
Former marketable value, basic point are worth marketable value, the basic point of taking from (table 8) and are worth.Fluctuation of interest rate basic point number receives from service terminal.
Cash flow result of calculation table (table 7) has write down cash flow information such as playing capital date of payment following each of each subject code, principal amount, interest payment date, interest amount form day phase.
Product phase of a specified duration result of calculation table (table 8) has write down the index futures mark of a specified duration of each product of form day and the attached index of being correlated with.Phase analysis result data of a specified duration is to obtain after the analysis of the tables of data that data harvester 100, service terminal 200 are collected.The phase analysis result table of a specified duration (table 8) that combines various item codes (also claiming product, is the purpose set of one or more sections) is the phase analysis result table of a specified duration of a complete wholly-owned product debt project.
Below be a kind of embodiment that interest rate risk is carried out phase metering of a specified duration.The treatment scheme of described each unit all is the processing of writing down to each bar in each tables of data of table 8 at table 1, each bar record in the reading of data that promptly the circulates table, do the processing of following description, each the bar record in the interface data table is all processed intact.Criterion that relates in treatment scheme or basis for estimation if do not add specified otherwise, are the direct judgement to the field value in the related data interface.
As shown in Figure 6, the interest rate risk method of carrying out phase of a specified duration metering may further comprise the steps:
Step S100: data collector 100 judges that whether be form day (form day can define according to form issue frequency in advance, as every day, ten days end, the end of month etc.) same day, if be form day on same day, and execution in step S101 then; Otherwise finish;
Step S101: data collector 100 is gathered account and transaction data from each operation system (deposit, loan, bill, bond, internal finance transaction etc.) of bank by data-interface from the related system image data; Gather ledger data from counting bank notes's accounting system by data-interface; Collect manual importing data from service terminal 200, and send the data that collect to phase Analysis server 300 of a specified duration, execution in step S102 then;
Step S102: the main control module of phase Analysis server 300 is distributed to the cash flow computing unit with the interface data of data collector 100 collections for a long time, the cash flow data of following each phase of cash flow computing unit computational data, and store in the data storage device 400 execution in step S103 then into;
Step S103: for a long time the product phase computing unit of a specified duration of phase Analysis server 300 is according to the cash flow result of calculation counting yield phase of a specified duration, and stores in the data storage device 400;
Step S104: for a long time the scenario analysis unit of phase Analysis server 300 carries out the scenario analysis that marketable value changes according to product phase result of calculation of a specified duration according to user instruction, and analysis result is fed back to service terminal 200 shows the user.
As shown in Figure 7, cash flow evaluation work flow process may further comprise the steps:
Step S2010: the cash flow computing unit forwards step S2011 to from the data that data collector 100, service terminal 200 receive each image data table;
Step S2011: the cash flow computing unit according to the capital in image data table reimbursemen mode, capital reimbursemen frequency, interest payment frequency, date of value, due date field calculate cash flow data such as capital date of payment following each, principal amount, interest payment date, interest amount, execution in step S2012 then phase;
Step S2012: purchase (mortgage) loan for individual house, need to consider the data of the factor of refunding in advance, each issue capital payment is added this phase shift to an earlier date the value of amount to pay as " cash flow ", execution in step S2013 then;
Step S2013: the cash flow computing unit is according to the time limit in the image data table, interest rate adjustment mode, capital mode of satisfaction, interest payment frequency field, whether specified data has fixed term, judge table (table 1) according to phase application rule of a specified duration then, determine phase application rule of a specified duration and marketable value computing method
Execution in step S2014;
Step S2014: cash flow computing unit result of calculation registers in the cash flow result of calculation table (table 7), and stores in the data storage device 400.
As shown in Figure 8, the evaluation work flow process may further comprise the steps the product phase of a specified duration:
Step S2020: product phase of a specified duration computing unit visit data memory storage 400 obtains cash flow result of calculation table (table 7) data, execution in step S2021;
Step S2021: product phase of a specified duration computing unit visit project-subject contextual definition table data (table 5) obtain to need to calculate the pairing subject code of item code of phase of a specified duration.
Step S2022: product phase computing unit of a specified duration carries out pre-service to cash flow result of calculation table (table 7).Reject from table 7 that " measurement type " be in the subject attribute definition parameter list (table 2) " subject code " record of " 1, row in subject " and " 2, the interior subject of branch's linchpin ", generation cash flow result of calculation temporary table one and cash flow result of calculation temporary table two.
Step S2023: whether the phase rule of a specified duration of product phase of a specified duration computing unit judgment data is " rule 1 ", if execution in step S2024 then; Otherwise execution in step S2025;
Step S2024: product phase computing unit of a specified duration is according to the phase of a specified duration (D) and the marketable value (MV) of phase of a specified duration rule 1 counting yield:
Marketable value (MV)=V;
Execution in step S2026;
Step S2025: product phase computing unit of a specified duration is according to the phase of a specified duration (D) and the marketable value (MV) of phase of a specified duration rule 2 counting yields:
Phase (D)=0 of a specified duration;
Marketable value (MV)=book value, the current remaining sum of getting table 8;
Execution in step S2026;
Step S2026: the product phase of a specified duration computing unit yield to maturity (Y) of iteration Method product, the Xk+1 when stopping iteration is exactly yield to maturity Y, then execution in step S2027;
Step S2027: calculate Modified duration (D
*) and basic point value (PVBP):
Modified duration (D
*)=D/ (1+Y);
Basic point value (PVBP)=-D
** 0.01% * marketable value (MV);
Execution in step S2028 then;
Step S2028: product phase computing unit of a specified duration generates product phase of a specified duration result of calculation table (table 8) with result of calculation, then execution in step S2029;
Step S2029: on the basis of product phase of a specified duration result of calculation table, the calculation combination phase of a specified duration (DM), the calculating principle of various combination phases of a specified duration is weighted the weighted mean that obtains the making up phase of a specified duration by the marketable value of each ingredient (product, residue time limit etc.), and formula is as follows:
Make up the phase of a specified duration (DM)=∑ (Vi/VM) * Di;
Step S2030: product phase computing unit of a specified duration will make up phase result of calculation of a specified duration and register to (table 9) product phase of a specified duration result of calculation table, and store in the data storage device 400.
As shown in Figure 9, scenario analysis flow process may further comprise the steps:
Step S2031: the scenario analysis unit receives the scenario analysis instruction from service terminal 200, context data such as receiving mechanism code, Currency Type, item code, the factor of whether considering to refund in advance, fluctuation of interest rate basic point number, execution in step S2032 then;
Step S2032: the scenario analysis unit is according to the context data in the scenario analysis instruction, and visit data memory storage 400 obtains phase result of calculation table of a specified duration (table 8) data, and the marketable value of calculating under this sight changes:
Changing back marketable value=former marketable value+marketable value changes;
Wherein: marketable value variation=basic point is worth * fluctuation of interest rate basic point number;
Former marketable value: take from the marketable value in the phase result of calculation table of a specified duration (table 8);
Basic point is worth: the basic point of taking from the phase result of calculation table of a specified duration (table 8) is worth;
Fluctuation of interest rate basic point number: from the scenario analysis instruction, obtain.
Step S2033; The scenario analysis unit is presented at the result that the marketable value under this sight changes to service terminal 200 feedback calculation results, and the accurate response fluctuation of interest rate is to the influence degree of product market value.
The beneficial effects of the utility model are, by bank's full subject miscellaneous service kind being carried out phase metering of a specified duration, and carry out the interest rate sensitivity analysis, realized that bank carries out the function of Risk Management of Interest Rate to the miscellaneous service kind, has improved the efficient and the level of bank rate risk management.
The utility model can be according to the requirement of Risk Management of Interest Rate, the product that phase metering of a specified duration is set flexibly (is an item code, be the combination of one or more subject codes), and can carry out phase metering of a specified duration according to set product, comprise and carrying out: deposit, loan, bond, financing, bill, the phase metering of a specified duration of the professional kind of the full subject of banks such as internal finance transaction, thereby realize different product, the different product combination, different residue time limit combinations, the phase metering of a specified duration of different institutions, realized that bank carries out the purpose of Risk Management of Interest Rate to wholly-owned product debt project, has greatly improved the efficient and the accuracy of bank rate risk management.
The utility model can receive user's various sight instruction carrying out scenario analysiss, it is the susceptibility metering system that a kind of marketable value accurately changes interest rate, carry out the scenario analysis that marketable value changes interest rate by the result of calculation of utilizing the phase of a specified duration, can carry out the interest rate situation of change neatly according to the demand of Risk Management of Interest Rate and estimate, improve the dirigibility and the reliability of bank rate risk management.
Used specific embodiment in the utility model principle of the present utility model and embodiment are set forth, the explanation of above embodiment just is used for helping to understand method of the present utility model and core concept thereof; Simultaneously, for one of ordinary skill in the art, according to thought of the present utility model, the part that all can change in specific embodiments and applications, in sum, this description should not be construed as restriction of the present utility model.
Claims (5)
1. an issue of a specified duration that carries out the interest rate risk monitoring is characterized in that according to metering system described issue of a specified duration comprises according to metering system: data acquisition server, service terminal, phase Analysis server of a specified duration and database server;
Described phase Analysis server of a specified duration is connected with described data acquisition server, service terminal and database server respectively;
Described data acquisition server comprises:
Be used to judge whether current system clock is the metering date judgment means on metering date phase default of a specified duration;
Be used to gather the service data acquisition device of account data and transaction data;
Be used to gather the general ledger data collector of general ledger data;
Be used to gather refund the in advance data collector of refund in advance of data of housing loan;
Be used for business datum, general ledger data and the housing loan of the gathering data of refunding are in advance sent to the image data dispensing device of described phase Analysis server of a specified duration;
Described service terminal comprises:
Be used to provide the maintenance parameters surface and interface to go forward side by side parameter editing device that line parameter is provided with;
Be used to provide the manual data interface data importing device that line data imports of going forward side by side that imports;
The instruction inputting device that is used to provide the user instruction inputting interface to go forward side by side the input of market scape analysis instruction;
Be used for feedback result display device that the scenario analysis result is shown;
Be used for sending parameter list, manual importing data and user instruction to described phase Analysis server of a specified duration, and receive the scenario analysis result's of described phase Analysis server feedback of a specified duration interaction data communicator;
Described phase Analysis server of a specified duration comprises:
Be used to discern and distribute the continuous data distributor of described image data and interaction data;
Be used for carrying out cash flow and calculate, generate the cash flow data processing equipment of cash flow calculation result data according to described image data;
Be used for that described cash flow calculation result data is carried out the phase of a specified duration according to the purpose set of a plurality of sections and calculate, the issue of a specified duration that generates product phase calculation result data of a specified duration is according to treating apparatus;
Be used for generating the susceptibility that each product market value changes interest rate under the corresponding sight, and generate scenario analysis result's interaction data treating apparatus according to described susceptibility according to the phase calculation result data of a specified duration corresponding with described interaction data;
Be used for described scenario analysis result is fed back to the feedback result dispensing device of described service terminal;
Described database server comprises:
The cash flow treatment that is used to store cash flow result of calculation table is memory storage as a result;
Be used to store the phase result memory storage of a specified duration of phase result of calculation table of a specified duration;
The parameter memory storage that is used for the stored parameter table.
2. the issue of a specified duration that carries out the interest rate risk monitoring according to claim 1 is characterized in that according to metering system described phase Analysis server of a specified duration is connected with described data acquisition server, service terminal and database server respectively;
Described phase Analysis server of a specified duration is connected with described data acquisition server, service terminal and database server by LAN (Local Area Network) or wide area network.
3. the issue of a specified duration that carries out the interest rate risk monitoring according to claim 1 is characterized in that according to metering system described database server also comprises:
Be used to store the phase application rule memory storage of a specified duration of phase application rule judgement table of a specified duration.
4. the issue of a specified duration of interest rate risk monitoring that carries out according to claim 3 is according to metering system, it is characterized in that, described cash flow data processing equipment is visited the phase application rule judgement table of a specified duration of described phase application rule memory device stores of a specified duration, obtain corresponding phase application rule of a specified duration and marketable value computation rule according to the data in the described phase application rule judgement table of a specified duration, and calculate the described cash flow calculation result data of generation according to phase application rule of a specified duration that obtains and marketable value computation rule.
5. the issue of a specified duration of interest rate risk monitoring that carries out according to claim 1 is according to metering system, it is characterized in that, described phase Analysis server of a specified duration with described cash flow calculation result data and product phase calculation result data of a specified duration be stored in successively in the described database server cash flow result of calculation table and for a long time in the phase result of calculation table.
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| CN2010201608473U CN201607771U (en) | 2010-04-14 | 2010-04-14 | Duration data calculation system for monitoring interest risk |
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| Publication number | Priority date | Publication date | Assignee | Title |
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| CN107392777A (en) * | 2017-07-14 | 2017-11-24 | 上海瀚银信息技术有限公司 | A kind of risk control method |
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| CN107392777A (en) * | 2017-07-14 | 2017-11-24 | 上海瀚银信息技术有限公司 | A kind of risk control method |
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