兼控利率风险和流动性风险的资产负债组合优化模型被引量：18

Optimization Model of Asset-liability Portfolio Considering Interest Risk and Liquidity Risk

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摘要提出了资产负债管理的利率结构对称原理,通过控制持续期缺口和免疫条件来控制利率风险,保护银行股东权益的安全.以线性规划为工具,建立了兼控利率风险和流动性风险的资产负债组合优化模型.将利率结构对称原理引入银行资产组合优化,解决了资产与负债利率的协调和匹配问题,使银行股东的权益在市场利率发生变化时不受到影响和损失,并解决了决策模型的服务对象问题. An interest rate structure symmetry theory is presented. The duration gap and immunity conditions are adopted to control the interest rate risk and protect the equity rights, Linear programming is used to set up the optimization model of asset-liability portfolio, in which the interest rate risk and liquidity risk are controlled simultaneously, The interest rate structure symmetry is introduced into the optimization of bank assets portfolio. The proposed method solves the harmonization and match problem, and protects the bank equity against the effect and loss while the market interest rate changes.

作者迟国泰许文王化增

机构地区大连理工大学管理学院

出处《控制与决策》 EI CSCD 北大核心 2006年第12期1407-1411,1416,共6页 Control and Decision

基金国家自然科学基金项目(70471055) 高等学校博士学科点专项科研基金项目(20040141026)

关键词资产负债管理利率风险流动性风险持续期优化方法免疫条件 Asset-liability management Interest-rate risk Liquidity risk Duration Optimization methods Immunity conditions

分类号 F830.5 [经济管理—金融学]

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