基于VaR约束的商业银行资产负债组合配给模型探讨

以商业银行各项资产和负债的组合收益最大化为目标函数,以贷款组合的VaR约束及法律法规约束和经营管理约束为条件,综合应用运筹学中的非线性规划理论,探讨了商业银行资产负债最优化管理问题,系统地提出了基于VaR约束的商业银行资产负债组合配给模型体系.该模型在引入VaR约束的同时兼顾资产和负债两个方面的业务和管理,体现了高度重视资产和负债的内在关联性的基本要求.

Combination model of asset-liability-management based on constraint of VaR technology

Considering the constrain on VaR, laws, regulations and operations, using portfolio profits maximum of commercial bank's asset-liability as objective function, using non-linear programming technique, the combination model of asset-liability-management based on VaR technology is set up in order to provide decision-making method for commercial bank's risk management. The characteristic is that the constrain on VaR and asset-liability management are simultaneously considered at the same time, attaching importance to the internal relations of asset and liability.