| 资产流动性优化管理系统的设计与实现 |
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| 引用本文： | 凌晓东,刘萍.资产流动性优化管理系统的设计与实现[J].系统工程理论与实践,1996,16(3):73-79. |
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| 作者姓名： | 凌晓东 刘萍 |
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| 作者单位： | 1. 中信国际研究所;2. 北京科技大学计算机系 |
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| 摘 要： | 本文介绍一种金融机构风险资产流动性优化管理的决策支持系统．该系统以金融理论为依据，建立了债券组合的利率风险免疫模型，并以ＭＳ－ＷＩＮＤＯＷＳ为平台加以实现．借助于电子表格的优良特性，该系统将初始数据的获得、数据的修改与处理，以及优化、仿真分析联系在一起，使用十分方便，最后，说明了系统的应用和可能的扩展。
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| 关 键 词： | 资产流动性管理 债券组合 利率风险免疫 非线性规划 |
| 收稿时间： | 1995-03-28 |
A Design and Implementation of Liquidity Optimization System |
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| Ling Xiaodong.A Design and Implementation of Liquidity Optimization System[J].Systems Engineering —Theory & Practice,1996,16(3):73-79. |
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| Authors: | Ling Xiaodong |
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| Institution: | 1. CITIC Research International, China International Trust and Investment Corporation,Beijing 100004;2. Beijing University of Science and Technology,100083 |
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| Abstract: | This paper presents a decision support system of liquidity management for financial institutions. Based on the modern financial theory, two duration models of interest-rate risk immunization for bond portfolio were developed and implemented under MS-WINDOWS. Some related functions as data processing, optimization and what-if analysis have been integrated into the system. |
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| Keywords: | liquidity management bond portfolio interest-rate risk immunization nonlinear programming |
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