商业银行动态收益管理研究——基于资产负债管理视角的在险收益分析(EaR)

Study on Dynamic Revenue Management of Commercial Banks: Analysis of Earning at Risk From an Asset-Liability Management Perspective

以利息收入分析为主的收益管理是商业银行资产负债管理的重要内容,是商业银行经营管理的核心所在。动态收益管理是指通过模拟未来资金计划情景及利率情景来预测和管理未来收益状况,并为管理层决策提供支持。本文从商业银行资产负债管理的角度,分析国外商业银行收益管理从静态管理——期限收益法到动态管理——在险收益分析(Earning at Risk)的演变,并进一步探讨我国商业银行实施动态收益管理的必要性及应当注意的问题。

Revenue management of commercial banks, focusing on interest income analysis, is a central issue of asset and liability management and operation management. By simulating future financing plans and interest rate scenarios, Dynamic Revenue Management can be used to predict and manage future earnings, and provide support for management decisions. From a perspective of commercial bank asset-liability management, this paper describes the evolution of revenue management of foreign commercial banks, from the static income approach to dynamic Earning at Risk approach, we further explore the necessity and problems for commercial banks in China in applying Dynamic Revenue Management.