本文關(guān)鍵詞： 商業(yè)銀行 風(fēng)險(xiǎn)管理 存貸款差額 數(shù)據(jù)驅(qū)動(dòng)　出處：《上海金融》2017年05期 　論文類型：期刊論文

【摘要】：傳統(tǒng)商業(yè)銀行經(jīng)營(yíng)管理中的缺口分析多是建立在資產(chǎn)負(fù)債額的絕對(duì)差額描述性論述之上,缺乏更深入的數(shù)理支撐。本文跳出傳統(tǒng)的用于分析存貸款缺口問(wèn)題的資產(chǎn)負(fù)債聯(lián)合管理的定性分析模式,采用"數(shù)據(jù)驅(qū)動(dòng)"的存貸款缺口額自身呈現(xiàn)出ARCH效應(yīng)來(lái)定量度量存貸款缺口額的變動(dòng)規(guī)律。從而為銀行業(yè)金融機(jī)構(gòu)尤其是商業(yè)銀行進(jìn)一步缺口管理提供理論基礎(chǔ)。
[Abstract]:The gap analysis in the management of traditional commercial banks is based on the absolute difference description of the amount of assets and liabilities. Lack of more in-depth mathematical support. This paper jumped out of the traditional qualitative analysis model of asset-liability joint management used to analyze the gap between deposit and loan. Adopting "data-driven" The amount of deposit and loan gap itself presents the ARCH effect to measure quantitatively the regularity of the change of the amount of deposit and loan gap, which provides a theoretical basis for the further gap management of banking institutions, especially commercial banks.
【作者單位】： 安徽亳州市委黨校;
【分類號(hào)】：F832.4
【正文快照】： 一、引言爾協(xié)議認(rèn)為以缺口久期為主的利率風(fēng)險(xiǎn)管理不能代傳統(tǒng)的商業(yè)銀行經(jīng)營(yíng)管理中的缺口分析多是建表期權(quán)性風(fēng)險(xiǎn),因?yàn)闇y(cè)度久期的存貸款類缺口利息所立在資產(chǎn)負(fù)債額的絕對(duì)差額描述性論述之上,缺乏更帶來(lái)的現(xiàn)金流是穩(wěn)定的而期權(quán)現(xiàn)金流是不穩(wěn)定且難深入的數(shù)理支撐,從而長(zhǎng)期遺留，

本文編號(hào)：1447895