| VaR风险控制的银行资产负债管理优化模型 |
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| 引用本文： | 王际科,迟国泰,洪忠诚.VaR风险控制的银行资产负债管理优化模型[J].哈尔滨工业大学学报,2009,41(2):245-247. |
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| 作者姓名： | 王际科 迟国泰 洪忠诚 |
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| 作者单位： | 大连理工大学,管理学院,大连,116024
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| 基金项目： | 国家自然科学基金，高等学校博士学科点专项科研基金 |
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| 摘 要： | 以资产组合收益率的波动为标准反映风险,在既定的组合收益率下,以组合风险最小为目标,以VaR风险收益率为约束,以法律、法规和经营管理约束为条件,建立了银行资产负债管理优化模型.本模型的特色与创新为以收益率最大损失的形式、而不是收益额的形式来反映VaR,使组合决策更为方便;运用资产负债管理比率建立约束条件,控制流动性风险;以VaR约束保证既定收益率选取的合理性,使资产配给的风险限定在银行的承受能力范围内.
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| 关 键 词： | 资产负债管理 组合风险 风险价值(Value at Risk) 优化决策 |
An optimal model of asset-liability-management based on VaR constraint |
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| WANG Ji-ke,CHI Guo-tai,HONG Zhong-cheng.An optimal model of asset-liability-management based on VaR constraint[J].Journal of Harbin Institute of Technology,2009,41(2):245-247. |
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| Authors: | WANG Ji-ke CHI Guo-tai HONG Zhong-cheng |
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| Affiliation: | (School of Management,Dalian University of Technology,Dalian 116024,China) |
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| Abstract: | Taking the volatility of assets portfolio yield to reflect risks,under the definite portfolio yield and the constraint of Value at Risk(VaR),an optimal decision-making model of asset-liability-management is set up with the aim of minimum risk and the constraint of laws.The established model employs the yield rate of maximum loss but not yield amount to reflect VaR,so it becomes convenient for the decision analysis: it can control the liquidity risk by using constraints on laws,regulation and operation:the constraint of VaR ensures the rationality of definite yield,which gets the risk within the range that bankss can accept. |
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| Keywords: | at Risk) |
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