摘要
商业银行风险管理决策本身是个多目标决策过程。在以往运用多目标线性规划模型进行资产负债管理的研究中,大都局限于资产负债表内业务和利率风险控制,本文将目标规划模型的应用拓展至表外业务,以衡量贷款损失的CSFP CreditRisk+(信用风险附加法)计算的贷款损失充足率为约束,以法律,法规和经营管理为条件,建立了基于CreditRisk+的银行全面资产负债管理目标规划模型并分析了该模型的有效性和敏感性,为银行风险管理提供了决策依据。
Risk management of commercial bank is a multicriteria decision - making process. The most of past rcsearches which apply multicriteria linear programming model to manage the bank assets and liabilities confined to the balance sheet and the control of interest rate risk . This paper expands the application of the goal programming model to the off-balance. This paper set up a dynamic goal programming model for bank asset and liability management based on CreditRisk ＋ by taking the laws, regulations and management terms as constraints and introducing the CSFP CreditRisk ＋ to measure the risk of loan. This paper also analyses validity and sensitiveness of the model to offer a decision basis for risk management of the bank.
出处
《电子科技大学学报（社科版）》
2006年第3期29-33,共5页
Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
