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基于流动性风险约束的我国商业银行资产负债随机规划模型
引用本文:聂溱,李金林,任飞.基于流动性风险约束的我国商业银行资产负债随机规划模型[J].数学的实践与认识,2007,37(4):70-77.
作者姓名:聂溱  李金林  任飞
作者单位:北京理工大学管理与经济学院,北京,100081
摘    要:通过以资产负债管理合理匹配银行资产、负债,可以防范银行流动性风险.为此,建立了一个带有简单补偿的两阶段多期随机规划,在满足相关政策、法规约束和流动性风险V aR随机机会约束条件下,以银行的盈利最大化为目标,对银行主要资产、负债进行动态的优化匹配.

关 键 词:流动性风险  资产负债管理  随机规划
修稿时间:2006年12月21

A Stochastic Programming Model of Domestic Commercial Bank Asset and Liability Management Based on Liquidity Risk Constraints
NIE Zhen,LIN Jin-lin,REN Fei.A Stochastic Programming Model of Domestic Commercial Bank Asset and Liability Management Based on Liquidity Risk Constraints[J].Mathematics in Practice and Theory,2007,37(4):70-77.
Authors:NIE Zhen  LIN Jin-lin  REN Fei
Abstract:Asset-liability management by matching bank′s assets and liabilities,can prevent bank liquidity risk.The establishment of a multi-period Stochastic Linear Programming with Simple Recourse model plans to meet the constraints of relevant policies,rules and regulations,and meet VaR stochastic chance constraints of liquidity risk,by maximizing profits for the bank,for dynamic optimized distribution of the bank′s assets and liabilities.
Keywords:liquidity risk  asset and liability management  stochastic programming
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