摘要
为商业银行的资产负债管理建立一个带有简单补偿的多周期随机规划模型．在考虑到一系列确定的投资回报率、借人成本以及一系列的随机存款、流动性等的条件下，模型在一个计划期间内决定资产和负债的Ｐｏｒｔｆｏｌｉｏ，文章的目的是建立一个优化工具保证银行连续盈利和获得最佳风险管理．
This paper presents a multiperiod stochastic programming model with simple linear recourse for asset and liability management in banking. The model determines the portfolio of assets and liabilities over the planning horizon given a set of deterministic rates of returns of investments and costs of borrows, and a set of random outstanding deposit levels, and liquidity. The aim is to develop an optimization tool to assure sustained profitability and good management of risks.
出处
《上海大学学报（自然科学版）》
CAS
CSCD
2000年第6期485-490,共6页
Journal of Shanghai University:Natural Science Edition
关键词
资产负债管理
随机规划
风险管理
商业银行
asset and liability management
stochastic programming
risk management
