| 基于VaR风险控制和法规约束的银行资产负债管理优化模型 |
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| 引用本文： | 王际科. 基于VaR风险控制和法规约束的银行资产负债管理优化模型[J]. 鲁东大学学报, 2007, 23(1): 23-27 |
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| 作者姓名： | 王际科 |
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| 作者单位： | 鲁东大学学报编辑部 山东烟台264025 |
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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.通过实例分析,说明了该模型的合理性和可行性.
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| 关 键 词： | 资产负债管理 组合风险 风险价值 优化决策 |
| 文章编号： | 1673-8020(2007)01-0023-05 |
| 修稿时间： | 2006-09-19 |
Optimal Model of Asset-liability-management Based on Law''''s Constraint and VaR Control |
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| WANG Ji-ke. Optimal Model of Asset-liability-management Based on Law''''s Constraint and VaR Control[J]. Ludong University Journal (Natural Science Edition), 2007, 23(1): 23-27 |
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| Authors: | WANG Ji-ke |
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| Abstract: | By analyzing the characters and defects of the existed models of asset-liability-management,taking the volatility of assets portfolio yield as risk's reflection,under the definite portfolio yield and the constraint of Value at Risk(VaR),a decision-making model of asset-liability-management is set up with the minimum risk and the laws' constraint,which provides decision-making method for bank' risk management. |
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| Keywords: | asset-liability-management portfolio risk value at risk optimal decision-making |
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