基于高阶矩风险防范的银行资产负债组合优化模型研究——以A银行为例  

Research on Optimal Models of Assets and Liabilities Portfolio Based on Higher Order Risk Prevention:Case Study of Bank A

作　　者：吴灏文[1] 张倩[1] 

机构地区：[1]大连理工大学管理与经济学部工商管理学院,辽宁大连116024

出　　处：《管理案例研究与评论》2013年第3期228-238,共11页Journal of Management Case Studies

基　　金：中央高校基本科研业务费专项资金资助(DUT10RW423;DUT13RW402)

摘　　要：资产负债管理能力是现代商业银行的基本能力,其核心在于风险控制和价值创造。商业银行资产负债组合优化是现代商业银行信贷管理框架中的核心内容,它对于保持银行资产流动性、安全性和赢利性的"三性"的最佳组合、优化配置资源、提高银行的生存能力和竞争能力,具有重要的现实意义。本文通过以贷款组合的VaR约束控制贷款组合的二阶矩,即控制了资产组合的风险;以贷款组合收益率的偏度约束控制贷款组合的三阶矩,即控制了贷款组合收益率发生总体损失的可能性;以组合收益率的峰度约束控制贷款组合的四阶矩,即减少了组合收益率发生极端损失的可能性,建立了资产分配的收益率均值-方差-偏度-峰度模型。Asset-liability Management（ALM）, the basic ability for modern commercial banks, focuses on risk control and value creation. The ALM optimal portfolio is the core work for modern banks’ credit management. It also has the important practical significance to maintain the banks’ liquidity, safety and profitability, optimize the allocation of the economic resources, and improve the banks’ ability to survive and compete. This paper builds an ALM optimal model to control higher-order risk and interest rate risk at the same time by using the second-moment, VaR, as risk control of the loans portfolio; using the third-moment, skewness constrain, to avoid the distribution of loan portfolio yield toward left of mean to reduce the risk of general loss of the loans portfolio yield, using the fourth-moment, kurtosis constrain, as the control of the distribution’s fat tail on both sides to reduce the extreme loss, and then sets up the Mean-Variance-Skewness-Kurtosis model.

关 键 词：资产负债管理 组合优化 高阶矩风险 

分 类 号：F832.33[经济管理—金融学]