资本充足率控制预留缺口的资产负债优化模型

运筹与管理 ›› 2011, Vol. 20 ›› Issue (2): 137-144.

资本充足率控制预留缺口的资产负债优化模型

闫达文^1,2, 迟国泰¹, 吴颢文¹

1.大连理工大学工商管理学院,辽宁大连 116024;
2.大连理工大学数学科学学院统计与金融研究所,辽宁大连 116024

收稿日期:2008-11-20 出版日期:2011-04-25
作者简介:闫达文(1979-),女,黑龙江哈尔滨人,讲师,博士生;迟国泰(1955-),男,黑龙江海伦人,教授,博士生导师,从事金融工程、银行风险等研究。
基金资助:
国家自然科学基金资助项目(70471055);教育部人文社会科学研究项目基金资助项目(09YJC790024);中央高校基本科研业务费专项资金资助(DUT0ZD10ZD107;DUT10RW107)

Optimization Model of Asset-liability Portfolio Based on the Duration Gap Control of Capital Adequacy

YAN Da-wen^1,2, CHI Guo-tai¹, WU HAO-wen¹

1. School of Business Management, Dalian University of Technology, Dalian 116024, China;
2. Institute of Statistics and Finance, School of Mathematical Science, Dalian University of Technology, Dalian 116024, China

Received:2008-11-20 Online:2011-04-25

摘要/Abstract

摘要： 以利率变化后的资本充足率满足商业银行法要求的≥8%为约束条件,以资产组合的利息收入最大为目标函数,建立资产负债组合优化模型。本文的创新与特色一是通过预设持续期缺口使银行的资产组合在利率变动的有利条件下增加银行净值。这弥补了现有的零缺口免疫条件的资产组合不能使银行股东权益在利率变化中增加的缺陷。二是通过对预设持续期缺口的控制使银行的资产组合在利率变动的不利条件下满足资本充足率的法律要求。这种优化配给控制了资本损失,保护了股东权益,保证了在银行净值发生变化时资本充足率仍满足法律要求。

关键词: 风险管理, 资产负债管理, 优化模型, 预留缺口, 资本充足率

Abstract: We build an asset-liabilities management optimal model which controls capital adequacy(≥8%)after the change of the interest rate and targets the maximum profit on assets portfolio. One of the contributions is to increase the net value of the bank through prepared duration gap when the interest rate is changing favorably, and this in turn offsets the shortcoming of the current research which could not increase the net value when the gap is zero. The second is that capital adequacy asked for by the law is realized with controlling the gap, while the interest rate changes adversely. The assets management ensures the capital loss to be controlled and protects the owner’s equity of the bank.

Key words: risk management, asset-liabilities management, optimal model, prepared duration gap, capital adequacy

中图分类号:

F224.31

闫达文, 迟国泰, 吴颢文. 资本充足率控制预留缺口的资产负债优化模型[J]. 运筹与管理, 2011, 20(2): 137-144.

YAN Da-wen, CHI Guo-tai, WU HAO-wen. Optimization Model of Asset-liability Portfolio Based on the Duration Gap Control of Capital Adequacy[J]. Operations Research and Management Science, 2011, 20(2): 137-144.

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