摘要
银行资产负债的合理匹配能够有效地降低银行的流动性风险。本文在已有研究结果的基础上,以贷款利息收益最大为目标函数,以资产负债的时间和数量匹配为约束条件,建立了资产负债匹配优化模型。通过银行资金缺口容忍度控制短期负债与长期资产的错配额度,避免银行因为流动资金不足而导致银行支付危机的发生;通过资产负债组合的数量匹配,满足银行监管和银行经营实际要求。
The rational matching of bank assets-liabilities can effectively reduce the liquidity risk. Based on the available research achievements, this paper puts forward principle on time structure symmetrical of asset-liability, using loan interest income as the objective function, the optimization model of asset-liability portfolio is set up. Through sequential matching of assets and liabilities, short-term assets can match with short-term liabilities and long-term assets can match with long-term liabilities, which solve the liquidity risk controlling. Symmetrical of quantitative structure on assets and liabilities ensure the legitimacy and regulations of bank assets allocation.
出处
《金融理论与实践》
北大核心
2010年第9期13-16,共4页
Financial Theory and Practice
基金
中国博士后科学基金(20090460452)
辽宁省教育厅科研项目基金(2010041)
大连市社科院项目基金(10DLSK140)
关键词
商业银行
资产负债管理
流动性风险
时间匹配
优化方法
Commercial Bank, Asset-Liability Management
Liquidity Risk
Time Matching
Optimization Method