商业银行头寸管理的数学建模  

Mathematical Modeling for Position Management of Commercial Banks

作　　者：孙文凯[1] 胡晓华[1] 

机构地区：[1]海南师范大学数学与统计学院,海南海口571158

出　　处：《昆明理工大学学报（自然科学版）》2016年第3期147-152,共6页Journal of Kunming University of Science and Technology(Natural Science)

基　　金：国家自然科学基金项目(11361022)

摘　　要：对商业银行头寸管理问题进行了研究,提出一种数学建模框架,寻找随机变量净头寸的概率分布,用密度函数的非参数核估计方法,借助计量经济学软件EViews 6.0,拟合出净头寸密度函数的近似表达式,得到密度函数的具体形式,再由参数的矩估计法,得到密度函数中有关参数的估计值,从而确定密度函数,进行统计推断,给定显著性水平α(如α=0.05),在置信水平1-α(如95%)下,商业银行在单位营运时间(如1天)内,其头寸管理应保持多少合理的现金.This paper studies the position management of commercial banks. A mathematical modeling framework is proposed to search for the probability distribution of random variable net positions. A nonparametric kernel estimation method of the density function is combined with econometric software EViews6. 0 to fit out the approximation expression for net positions density function and to get the specific form of density function. The method of moment estimation is then used to get the estimated values of parameters in density function and to determine the density function. The statistical inference of the amount of cash in unit operation time（ such as one day） for the commercial banks is carried out thereafter at the given significant level α（ α = 0. 05） and at the confidence level1- α（ such as 95%）.

关 键 词：商业银行头寸 非参数核估计 概率密度函数 显著性水平 

分 类 号：O29[理学—应用数学]