价值管理视角下的商业银行资产负债模型

Asset and Liability Models of Commercial Banks from the Perspective of Value Management

以价值管理为核心的商业银行资产负债模型将资产负债管理相关要素纳入统一的分析框架内,实现了价值创造和风险控制的有机结合,促使银行资产负债管理行为与银行价值最大化的基本目标协同一致。基于价值管理的资产负债理论模型为中国银行业在内部资金转移定价、贷款定价及利率风险计量等资产负债管理核心领域的实践提供了有益的参考。推进中国银行业资产负债管理向价值管理转型还必须从银行内外部同时着手,在银行内部积极吸收借鉴国外成熟的理论模型,加快开发资产负债决策支持系统,同时,大力推进金融市场和金融基础设施建设。

Asset and liability models of commercial bank, value management as their cores, bring relevant elements of asset and liability management （ALM） into a unified framework of analysis. It achieves the organic integration of risk control with value creation and keeps ALM behavior consistent with the fundamental goal of maximizing bank＇s value.Asset and liability models based on value management will provide a useful reference for the practice of core areas of ALM such as the funds transfer pricing, the loan pricing and the measurement of interest rate risk in Chinese banks. The transition from ALM to value management should be promoted inside and outside Chinese banks. Chinese banks should actively learn foreign mature theoretical model and accelerate the development of decision support systems of ALM. At the same time, Chinese banks should vigorously promote the construction of financial market and infrastructure.