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| 文章编号：1672-3104(2005)02-0217-05 |
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基于VaR约束的商业银行资产负债组合配给模型探讨 |
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袁乐平,黄博文 |
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（中南大学商学院,湖南长沙,410083） |
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| 摘 要： 以商业银行各项资产和负债的组合收益最大化为目标函数,以贷款组合的VaR约束及法律法规约束和经营管理约束为条件,综合应用运筹学中的非线性规划理论,探讨了商业银行资产负债最优化管理问题,系统地提出了基于VaR约束的商业银行资产负债组合配给模型体系。该模型在引入VaR约束的同时兼顾资产和负债两个方面的业务和管理,体现了高度重视资产和负债的内在关联性的基本要求。 |
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| 关键词： 资产负债管理;风险价值;组合收益 |
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Combination model of asset-liability-management based on constraint of VaR technology |
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YUAN Le-ping, HUANG Bo-wen |
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（College of Business, Central South University, Changsha 410083,China） |
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| Abstract: Considering the constrain on VaR, laws, regulations and operations, using portfolio profits maximum of commercial bank s asset-liability as objective function, using non-linear programming technique,the combination model of asset-liability-management based on VaR technology is set up in order to provide decision-making method for commercial bank s risk management. The characteristic is that the constrain on VaR and asset-liability management are simultaneously considered at the same time, attaching importance to the internal relations of asset and liability. |
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Key words: asset-liability-management; value at risk; portfolio yields |
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