Optimization model of bank assets and liabilities management

摘要

In this paper, We give the two-stage optimization models of the structure of assets and liabilities and credit risk control that compose the model and optimization method of the bank assets and liabilities management to realize the level of the liquidity, security and surplus of the bank assets by using of the theory and the technique of the bank assets and liabilities management. Taking bondage at the laws, regulations and administration rules of the bank and tanking the objective at the maximum of surplus of assets, the first stage model of the bank assets and liabilities management gives the best proportional configuration of the assets arrangement. From roots engendered roots of credit risks-the deep angle of enterprise bankrupt, the second stage model studies the enterprise bankrupt probability and gives the model of credit risk control that based on the survivor function. Bank assets arrangement is realized on the basis of satisfying the unity of the law bondage, the harmony principle and the choice of the credit customer. Also it gives the actual example of the simulative calculation.