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.
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.
出处
《数学的实践与认识》
CSCD
北大核心
2007年第4期70-77,共8页
Mathematics in Practice and Theory
关键词
流动性风险
资产负债管理
随机规划
商业银行
liquidity risk
asset and liability management
stochastic programming
