摘要
在CreditMetrics方法和资产负债管理技术的基础上,以银行各项资产组合收益最大化为目标函数,以VaR风险限额为约束,以法律、法规和经营管理约束为条件,建立了基于VaR的银行资产负债管理优化模型,为银行的风险管理提供了决策方法.本模型的特点之一是利用VaR技术建立约束条件,通过在一定置信水平下的最大损失限额来控制贷款组合的违约风险,使贷款配给的风险限定在银行的承受能力和贷款准备金的范围之内;二是运用资产负债管理比率建立约束条件,通过法律、法规和经营管理约束控制流动性风险,使贷款的分配决策满足银行监管要求和银行经营实际;三是直接利用各企业贷款收益率的历史数据求解各贷款之间的收益率相关系数,进而求解组合的方差,而不是利用企业资产的相关系数求解,更直接地反映了贷款收益率之间的相关性.
Based on the CreditMetrics method and asset\|liability\|management technology, considering the constrain on VaR, laws, regulations and operation, using portfolio profits maximum of bank′s assets as objective function, the optimal model of asset\|liability\|management based on VaR technology is set up in order to provide decision\|making method for bank′s risk management. The characteristics lie on three aspects: Firstly, the risk of loan distribution is limited within the given ranges of bank′s risk tolerance ability and reserve funds. Because default risk of loan′s portfolio is controlled by the arrangement on using VaR constrain and maximum limitation of loss under certain confidence. Secondly, liquidity risk is controlled by using constrains on laws, regulation and operation, so the loan′s allocation can meet the requirements of supervision and operation. Thirdly, the loan′s yields of historical data on individual enterprise are used to get the correlation coefficient between different loans, and get portfolio deviation, thus, the yields′ correlation among different loans is reflected directly.
出处
《大连理工大学学报》
CAS
CSCD
北大核心
2002年第6期750-758,共9页
Journal of Dalian University of Technology
基金
国家自然科学基金资助项目(70142008)
加拿大国际开发署(CIDA)中-加大学与产业合作项目(CCUIPP).
关键词
组合收益
组合风险
优化方法
风险价值
资产负债管理
portfolio yields
portfolio risk
optimization method/value at risk
asset\|liability\| management
