商业银行资金流管理风险控制优化模型的建立与分析  

A risk control optimal model for capital flow management about commercial bank

作　　者：许若宁[1] 钟云燕[1] 

机构地区：[1]广州大学数学与信息科学学院,广东广州510006

出　　处：《广州大学学报（自然科学版）》2009年第1期1-6,共6页Journal of Guangzhou University:Natural Science Edition

基　　金：广东省自然科学基金资助项目(8451009101001040)

摘　　要：采用定量分析的方法,将商业银行作为一个能够对其外部环境做出最优反应的独立经济单位,考虑到管理成本及流动性短缺的预期成本对利润的共同作用,建立了商业银行资金流管理的风险控制优化模型.通过对模型解的研究,证明了模型存在最优解的充分必要条件,从而给出了商业银行获取最大利润的策略.文章还研究了决策变量,即存贷款利率与惩罚性利率以及存款准备金率之间的相互关系,从某一角度揭示了银行业运作的规律,为科学决策提供了理论依据.Regarding commercial bank as an independent economic unit which can make the best response to the outer environment, this paper considers the situation in which the bank profit is influenced by management cost and anticipant cost of fluidity gap, and proposes a risk control optimal model for capital flow management. A necessary and sufficient condition for the solution of the optimal model is proved, and therefore the strategy of bank to achieve maximum profit is given. This paper also discusses the relationships of decision variables, the interest rates of deposit and loan, with the interest rates of punishment and money market, which reveals the laws in operation of banking.

关 键 词：风险控制 最大利润 决策变量 

分 类 号：F832.33[经济管理—金融学]