银行资产负债管理的二阶段模型及其优化  

Two-Stage Optimization Model of Bank Assets and Liabilities Management

作　　者：庄新田[1] 黄小原[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2001年第6期688-691,共4页Journal of Northeastern University(Natural Science)

基　　金：辽宁省自然科学基金资助项目 ( 9910 2 0 0 2 0 8)

摘　　要：根据国内银行资产负债管理的实际情况 ,提出了一种新的银行资产负债管理模型 ,即资产负债结构与信贷风险控制二阶段优化模型·第一阶段以银行法律、法规及银行经营管理规则为约束 ,资产盈利最大化为目标给出资产安排最佳比例结构·第二阶段提出基于生存函数及资产结构为约束的信贷风险控制模型 ,运用目前信贷风险的主要识别方法 ,即贷款风险度对指数分布参数进行估计 ,改进寿命分布函数只与时间变量有关的局限性 。A new kind of model of the bank assets and liabilities management was given according to the reality condition of the bank assets and liabilities management in our country,that is,two stage optimization model of the structure of assets and liabilities and credit risks control. Taking regulations and administration rules of the bank as bondage and taking the maxmwn of surplus of assets the optimization objective,the best proportional configuration of the assets arrangement was given in the first stage model. The model of credit risks control was given in the second stage taking the survival function and bank assets structure as restrain. At present the main distinguish model of the credit risks is arplie degree of the credit risks for that distribution parameter of the index wages the estimation and improved the distribution function of the ordinary life and limitation which only related to the time variable, and made the distribution function of the life.

关 键 词：资产负债管理 信贷风险 生存函数 信用等级 风险识别 信贷风险度 二阶段优化模型 银行 

分 类 号：F830.42[经济管理—金融学] F830.5