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商业银行存贷款的最优久期问题探讨 被引量:1

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摘要 存贷款期限不相匹配是银行经营风险控制的重要内容。文章运用两期银行模型下的久期分析方法,为银行经营找到最优久期水平。即保证银行资债相抵以及流动性的前提下,实现股东权益市场价值最大化的久期水平。
出处 《统计与决策》 CSSCI 北大核心 2013年第10期153-156,共4页 Statistics & Decision
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  • 1Jae Ha Lee, Duane R.Stock, Embedded Options and Interest Rate Risk for Insurance Companies, Banks and other Financial Institutions [J]. The Quarterly Review of Economics and Finance, 2000,(4).
  • 2Frederick Macaulay, Some Theoretical Problems Suggested by the Movement of Interest Rates, Bond Yields and Stock Prices in the U.S. Since 1856 [M]. New York: National Bureau of Economic Research, 1938.
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