基于引力模型的商业银行流动性风险管理  

Risk Management Between Assets and Liabilities in Commercial Banks Based on Gravity Model

作　　者：孙清[1] 陈靖元[1] 

机构地区：[1]南京审计学院金融学院,南京210029

出　　处：《经济问题》2011年第6期82-85,共4页On Economic Problems

基　　金：江苏省教育厅2008年自然科学基金项目(08KJB630002);江苏省区域金融科技创新团队资助项目

摘　　要：商业银行的核心业务是吸收流动性强且随时备取的存款再将其以长期贷款的形式发放出去,因而普遍存在着资产与负债期限结构错配现象。流动性困难是引发储户挤兑并导致商业银行破产的主要原因。根据电荷吸引原理建立的资产负债引力模型,通过改进不同种类资产和负债匹配度,从而提高商业银行管理流动性风险的能力。The core operation of commercial banks in China is to absorb deposit money with strong liquidity and flexibility and then distribute them as long - term loan. As a result, the term structure of assets and liabilities in commercial banks usually mismatches. It may then lead to a series of liquidity risks and cause bankruns. The main function of asset - liability management is to manage the risks on banks＇ balance sheet. In this paper, based on different types of assets and liabilities in commercial banks, we establish an asset - liability gravity model to help solve the problem between the term structures of assets and liabilities, and lower banks＇ liquidity risks as possible as we can.

关 键 词：资产负债期限 流动性风险 引力模型 匹配度 

分 类 号：F832.33[经济管理—金融学]