银行资产流动性模型及预测和优化控制  

Liquidity model of bank capital and its application in forecast and optimal control

作　　者：张川[1] 陈桂云[1] 潘德惠[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《控制与决策》2003年第2期210-212,220,共4页Control and Decision

基　　金：国家重点科技攻关项目资助课题 (97- 5 6 2 - 0 3- 0 1)

摘　　要：根据银行资产量、偿付期信息及其相互关系建立了分布参数模型 ,刻画了银行资产流动性的动态规律 ,提出了解决流动性信息统计因费时、费力、滞后期长而不具实用价值问题的一种方法。在考虑经济波动对银行资产流动性影响的情况下 ,利用银行资产的分布参数模型进行了资产量、资产收益 (或成本 )和收益风险的预测 ,并在动态地平衡收益与风险的基础上探讨了资产流动性结构的优化控制。A distributed parameter model is presented to depict the dynamic property of bank capital liquidation, according to the amount information and relationship of bank capital and the liquidation schedule. By considering the effect of fluctuation of economy to the capital liquidation, the forecasts of capital amount, capital profit and income risk are discussed based on the model. The capital liquidation structure optimization control is also considered by balancing the capital's income and risk dynamically.

关 键 词：银行资产流动性 分布参数模型 经济波动 收益 风险预测 资产结构优化控制 

分 类 号：F830.49[经济管理—金融学]