商业银行资产负债时间匹配的优化模型研究  

Research on Optimization Model of Time Matching for Commercial Bank's Asset-Liability

作　　者：杨中原[1,2] 许文 

机构地区：[1]中国社会科学院金融研究所,北京100732 [2]大连银行,大连116001

出　　处：《金融理论与实践》2010年第9期13-16,共4页Financial Theory and Practice

基　　金：中国博士后科学基金(20090460452);辽宁省教育厅科研项目基金(2010041);大连市社科院项目基金(10DLSK140)

摘　　要：银行资产负债的合理匹配能够有效地降低银行的流动性风险。本文在已有研究结果的基础上,以贷款利息收益最大为目标函数,以资产负债的时间和数量匹配为约束条件,建立了资产负债匹配优化模型。通过银行资金缺口容忍度控制短期负债与长期资产的错配额度,避免银行因为流动资金不足而导致银行支付危机的发生;通过资产负债组合的数量匹配,满足银行监管和银行经营实际要求。The rational matching of bank assets-liabilities can effectively reduce the liquidity risk. Based on the available research achievements, this paper puts forward principle on time structure symmetrical of asset-liability, using loan interest income as the objective function, the optimization model of asset-liability portfolio is set up. Through sequential matching of assets and liabilities, short-term assets can match with short-term liabilities and long-term assets can match with long-term liabilities, which solve the liquidity risk controlling. Symmetrical of quantitative structure on assets and liabilities ensure the legitimacy and regulations of bank assets allocation.

关 键 词：商业银行 资产负债管理 流动性风险 时间匹配 优化方法 

分 类 号：F830.33[经济管理—金融学]