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论文类型： 会议论文

发表时间： 2007-05-30

收录刊物： EI

页面范围： 1307-1312

摘要： The usual focus of banking operation is on the risk management, one of whose key methods is the asset-liability management (ALM). Therefore, this paper puts forward the quantity-structured and the interest-structured symmetry principles on asset-liability management. With the tool of linear programming and the objective of the maximal interest return, an optimization model of asset-liability portfolio considering both interest and liquidity risk is set up. In this way, an effective distribution of assets insuring the banking liquidity and equity capital comes into being. © 2007 IEEE.