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Date of Publication:2006-01-01

Journal:控制与决策

Affiliation of Author(s):经济管理学院

Issue:12

Page Number:1407-1411,1416

ISSN No.:1001-0920

Abstract:An interest rate structure symmetry theory is presented. The duration gap and immunity conditions are adopted to control the interest rate risk and protect the equity rights. Linear programming is used to set up the optimization model of asset-liability portfolio, in which the interest rate risk and liquidity risk are controlled simultaneously. The interest rate structure symmetry is introduced into the optimization of bank assets portfolio. The proposed method solves the harmonization and match problem, and protects the bank equity against the effect '1 and loss while the market interest rate changes.

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