银行资产负债管理多阶段随机规划模型

使用带有简单补偿的随机线性规划模型,研究不确定下的银行资产负债管理问题。以我国经济环境为依托,考虑了未来银行资产收益以及存款流的不确定性,并采用向量自回归的方法对其进行估计。以浦发银行为研究对象,并与其实际情况进行比较。结果表明,按该模型进行决策,能较好地规避由于未来的不确定所带来的风险,得到的收益要高于实际收益。

Multi-period Stochastic Programming Model for Bank Asset and Liability Management

A stochastic linear programming model with simple recourse was developed to study the asset and liability management of banks under uncertainties based on the domestic economic environment.The uncertainties in future asset returns and deposit flows of banks were considered and estimated by using the vector auto-regression method.Furthermore,empirical study on Shanghai Pudong development bank was made and compared to the actual situation of the bank.The results show that strategies achieved by the model could avoid the risks brought by the future uncertainties better,and gain more than the actual situation.