银行日常风险管理中备付金问题研究  

On Reserve Problem in Bank's Daily Risk Management

作　　者：黄平[1] 周晋[2] 

机构地区：[1]复旦大学管理学院,上海200433 [2]上海工程技术大学管理学院,上海201620

出　　处：《系统管理学报》2013年第2期212-216,共5页Journal of Systems & Management

基　　金：国家教育部人文社会科学研究青年项目(12YJC840065);上海工程技术大学校基金项目(2011Q09)

摘　　要：为应对营业网点客户存取款的现金支付需求,商业银行每天都会持有较大数额的备付金。如何优化日常备付金是影响银行信誉和盈利状况的重要日常风险管理问题。在分析银行备付金基本现状后,建立了具有随机特征的优化模型,探讨了最优解所满足的条件,并在假定损失函数形式的基础上进行了理论求解,同时通过实证表明了本文方法带来的巨大经济效益。Commercial banks have a certain amount of excess reserve holdings every day to meet the demand of the deposit or withdraw in business outlets. It has a significant impact on bank＇s reputation and earning performance to optimize the amount of excess reserves in risk management. After analyzing the basic situation of excess reserves, this paper establishes an optimization model with random characters and solves this model by a theoretical method and a numerical approach under some assumptions. Through empirical analysis it shows the method brings tremendous economic benefit. The main contribution is that it establishes an optimization model of excess reserves, presents a solution method from a theoretical and quantitative way, and offers a way for dealing with such problems.

关 键 词：银行 备付金 风险管理 

分 类 号：F830.48[经济管理—金融学]