基于资产均衡投放思路的利率及流动性风险管理研究

Study on Liquidity and Risk Managment Based on the Theory of Balanced Asset Allocation

本文通过对商业银行资产均衡投放的实证研究,认为均衡投放下各期间段资产重新定价的规模与到期现金流相对稳定,有助于利率及流动性风险的管理。但是,在部分利率及期限结构过于极端的情况下,资产"均衡投放"理论将会失效。商业银行在实际运用"均衡投放"策略时应当先做"有效性验证"模拟验证。国内商业银行应当用前瞻性的视角来实施主动性的风险管理,以更加有把握地将风险损失控制到风险偏好以内。

Based on empirical research on balanced asset allocation of commercial banks,the paper holds that in a balanced allocation,the size of re-pricing assets in each period is relatively stable to cash flow,contributing to effective management of interest rate and liquidity risk.However,the theory of balanced asset allocation becomes invalid in some extreme scenarioes of interest rates and term structure.In practical application of balanced asset allocation,commercial banks should begin with validation simulation,then implement proactive risk management with a forward-looking perspective,so as to minimize risks and control risk within risk appetite.