商业银行流动性风险管理方法的改进研究——基于模糊定性约束下的动态规划补偿模型应用  

The Study of Commercial Bank Liquidity Risk Management Method and Improvement——Application of Dynamic Programs with Simple Recourse Under Fuzzy Qualitative Constraints

作　　者：李研妮[1] 冉茂盛[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《中国管理科学》2011年第3期19-25,共7页Chinese Journal of Management Science

基　　金：中央高校基本科研业务费资助项目(CDJXS11021117)

摘　　要：商业银行流动性管理一向受银行管理者重视。管理银行流动性的方法大多采用运筹学规划,前提假定是这些参数为确定性的,或运用历史数据回归来确定随机参数的分布规律。但现实中,这些参数常为不确定的,且不存在概率分布的统计基础,致使决策结果有悖科学化。本文提出一种解决此问题的改进方法:首先建立不确定参数的模糊集,然后再将其转换成确定性分布嵌入动态规划的模型中,构建了多阶段动态线性规划补偿模型。通过改变模型中的部分参数,模型就能灵活地给出不同风险偏好的管理者的流动性管理策略选择。Commercial bank liquidity management has been seriously concerned by bank managers.Operational research planning is the main methods of management of bank liquidity.Some parameters in model are assumed deterministic or random variables whose distributions are decided by historical data regression.But in reality,these parameters are often uncertain,and there are no statistical basis for their probability distribution,leading to results contrary to the scientific decision-making.This paper presents an improved method to solve this problem that firstly the fuzzy sets of uncertain parameters should be established,then converted into the definite distributions which be embedded in the dynamic programming model,which builds the multi-stage dynamic linear programming with simple recourse.Through the change of partial parameters in model the model gives different fluidity management strategy choices for different risk attitude treasures.

关 键 词：流动性风险 动态规划 模糊定性约束 

分 类 号：F830.2[经济管理—金融学]