Control Over Interest Rate Risk of Bank'''' Asset/Liability Sheet with Embedded Options
有隐含期权的银行资产负债表的利率风险控制

The banks must set up the control systems of interest rate risk for that they should accept international regulatory standard of risk after entering WTO, and interest rate is being market\|oriented gradually, but the embedded options in bank's asset/liability sheet enhance the complexity of interest rate risk management. We make researches of control over interest rate risk of bank' asset/liability sheet with embedded options, and select duration gap and convexity gap as the indicators of control over interest rate risk; and advance the strategies of control over interest rate risk under embedded options, which emphasize matching option-adjusted duration and constructing the positive convexity gap to hedge the negative one; and analysis the valuation technology of the security with embedded options on the basis of scene generation of interest rate , which is essential to implementing the strategies of control over interest rate risk under embedded options.