基于多重选择目标规划(MCGP)模型的商业银行资产负债管理优化

A Multi-Choice Goal Programming(MCGP)Model for Optimizing Asset-Liability Management of Commercial Banks

在大数据时代,多目标决策模型不仅有助于金融行业的数字化转型,也能提高行业风险控制能力。商业银行资产负债管理以安全性、流动性和盈利性的均衡为主要目标,是银行风险管理的重要方面和银行经营的灵魂。针对资产负债管理中存在的多个相互冲突的目标以及各目标值的不确定性,建立基于多重选择目标规划的商业银行资产负债管理优化模型进行实证研究。研究结果表明,相较于传统的目标规划方法,多重选择目标规划模型具有更高的灵活性,可以避免目标值的低估,实现更理想的结果;运用多重选择目标规划模型可有效优化商业银行资产负债结构,更好地平衡风险与收益,同时满足管理层的期望。

In the era of big data,multiple objective decision-making models not only facilitate the digital transformation of the finance industry,but also enhance its risk control capability.Taking the balance of safety,liquidity,and profitability as its main goal,asset-liability management of commercial banks is an important dimension of bank risk management and the soul of bank operations.In response to the multiple conflicting goals in asset-liability management and the uncertainty of each target value,the optimization model of asset-liability management of commercial banks based on multiple-choice goal programming model is established for research.The research results show that,compared with the traditional goal programming method,the multiple-choice goal programming model possesses higher flexibility,can avoid the underestimation of the target value,and achieve more ideal results.The model can effectively optimize the assets and liabilities structure of commercial banks,achieve a better balance between risks and returns,and meet the expectations of management.