基于VaR约束的带交易费用的商业银行资产负债组合优化模型

Optimal Combination Model of Commercial Bank's Asset-Liability Management under Transaction Cost Based on Constraint of VaR Technology

在考虑交易费用的条件下,以商业银行各项资产和负债的组合净收益最大化为目标函数,以贷款组合的VaR约束及法律法规和经营管理约束为条件,建立商业银行资产负债组合优化模型,为银行的资产负债管理提供决策方法,并给出具体计算实例,得到最优资产和负债的比例及最大净收益。该模型的特点:一是考虑交易费用,以及贷款利率依赖企业的信用等级,更切合实际;二是同时兼顾资产和负债两个方面的业务和管理。

Under the condition of transaction cost, considering the constrain on VaR of loan portfolio, law, regulation and operation, using portfolio yield maximum of commercial bank＇s asset- liability as objective function, the optimal combination model of asset - liability - management is set up in order to provide decision - making method for commercial bank＇ s asset - liability management. We obtain the optimal proportional of asset and liability, and the maximum net yield of commercial bank： The first characteristic of the model is more practical by introducing the transaction cost and variation loan interest; The second characteristic of the model is that the asset and liability management are simultaneously considered.