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发表时间： 2006-01-01

发表刊物： 控制与决策

所属单位： 经济管理学院

期号： 12

页面范围： 1407-1411,1416

ISSN号： 1001-0920

摘要： 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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