中文摘要：

市场利率的变化导致银行资产与负债的价值均发生变化，进而导致银行的所有者权益发生变化和银行股东财富的风险，因此，利率风险管理对商业银行具有极其重要的作用。由于传统利率免疫策略在计算久期时假定收益率曲线在不同时段的变化量相同，因而其无法解决现实世界中不同时期收益率变化不同的利率免疫问题。本文通过方向久期来反映即期收益率及其改变量对贴现现金流的影响，以方向久期的免疫条件为约束，以银行资产组合收益最大化为目标函数，建立了基于方向久期利率风险免疫的资产负债组合优化模型。本文主要创新是用现金流的方向久期的组合免疫来控制资产负债的组合风险。其具体特色一是通过不同时段的不同即期收益率对现金流进行分别贴现来反映不同时期收益率变化对现金流平均回收期的影响。通过不同时段采用不同的即期收益率来贴现现金流，改变了现有研究用名义利率折现率贴现现金流的做法，合理地反映了不同时期收益率变化对现金流平均回收期的影响。二是用利率变动系数对现金流加权来反映利率波动对现金流平均回收期的影响。以某一特定时段的利率变化量除以全部时段利率变化量的均值作为系数，对反映时间权重的未来现金流再进行加权，科学地反映利率波动对现金流平均回收期的影响。三是分析表明现有研究的久期缺口免疫是方向久期缺口免疫的特例，当收益率曲线各时段收益率变化量相同时，方向久期缺口即为现有研究的久期缺口。

英文摘要：

Adjustment of interest rate causes change of asset/liability value, which in turn leads to change of owners＇ equity and risk and banking shareholders＇ wealth. So, it＇s very important for commercial banks to control interest rate risk. The traditional immunization of interest rate risk can＇t solve this problem accurately when the yield curve does not move in parallel because the traditional duration assumes the various yield point changes at the same number. This paper applies directional duration to reflect the influence of spot interest rate and its change on discounted-cash-flow. The paper sets up optimization model of asset-liability portfolio based on immunization of interest rate risk by taking directional duration gap for condition, and loan portfolio＇s interest rate risk controlling for aim. The main innovation of this paper is that it uses directional duration portfolio optimization condition to control interest rate risk of loan portfolio. The main characteristic can be summarized in three aspects. Firstly, discounting cash-flow by different spot interest rate reflects the various yield point change, which has important influence on the average pay-off period. Discounting cash-flow by different spot interest rate in different period of time changes the unreasonable condition that it discounts cash-flow by the nominal rate in current research. It reflects the influence of different spot interest rate in different period of time on the average pay-off period. Secondly, weighting on the cash-flow by interest rate changing coefficient reflects the influence of interest rate movement on the average pay-off period reasonably. Weighting on the cash-flow by the interest rate changing coefficient which equals to a period interest change divided by the average change of all period, it reflects the influence of interest rate movement on the average pay-off period scientifically. Thirdly, the results show that duration immunization of Interest rate risk is a special example of the directional duration immu