摘要
应用银行资产负债管理理论和技术 ,提出由资产负债结构与信货风险控制两个子模型组成银行资产负债管理模型及其优化方法 ,以实现银行资产流动性、安全性和盈利性的均衡。银行资产负债管理的第一层子模型以银行法律、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。第二层子模型从信贷风险产生的根源——企业破产深层次角度 ,对企业破产概率进行研究 ,提出基于生存函数的信贷风险控制模型。实现了银行资产安排在满足法律约束、协调原则及信贷客户选择上的统一 ,并给出仿真计算案例。
This paper is the first to give the two-stage optimization model of the structure of assets and liabilities and credit risks control that balance the flowability, security and profit-making of bank assets, which is the technical method of bank assets and liabilities management. The first stage gives the best proportional configuration of the assets arrangement whose bounded terms are laws, regulations and administration rules of bank, and whose objective is the maximum of profit-making of bank assets. The second stage studies the enterprise bankrupt probability according to the roots of credit risks, the deep angle of enterprise bankrupt, and gives the model of credit risks control that based on the survival function. Bank assets arrangement is realized, in accordance with law bondage, three-principle(flowability, security, profit-making) harmony and credit customer choice. Also it gives the simulant calculation.
出处
《系统工程理论方法应用》
2001年第2期167-171,共5页
Systems Engineering Theory·Methodology·Applications
基金
辽宁省自然科学基金! (9910 2 0 0 2 0 8)
