【作者】 金秀；

【导师】 黄小原；

【作者基本信息】 东北大学 ， 管理科学与工程， 2006， 博士

【摘要】 经济全球化、金融一体化进程的加快加剧了金融市场的风险，机构投资者的快速发展要求加强风险管理，资产配置是风险管理的重要手段，而考虑负债的资产配置是有效的风险管理方法，资产负债管理随机规划模型对于分析长期风险在财务计划和管理问题是理想的。本文从国内外关于银行资产负债管理、保险及养老金计划、长期金融计划问题和多阶段金融资产配置几个方面对资产负债管理的研究进行了归纳总结，并针对多阶段资产负债管理问题中的情景生成和随机规划的应用进行了论述。在我国的经济背景下，考虑未来的不确定性，对我国养老金资产负债管理、银行资产负债管理、投资基金的资产配置及个人财务计划问题进行了研究，即 (1)在资产负债管理随机规划模型的基础上，根据国内实际情况，改进了模型的约束条件，建立了适合国内情况的资产负债管理模型。进一步以辽宁养老金管理问题为背景，考虑了未来各种资产收益、工资变动以及养老金支付的不确定性，确定出计划期间养老金替代率为60％的条件下，缴费成本和赤字惩罚最低的缴费率和最佳的资产配置。 (2)采用带有简单补偿的随机线性规划模型研究银行的资产负债管理问题，以我国经济环境为依托，结合我国实际的银行监管要求，提出了银行的资产负债管理模型，并以浦发银行为对象进行了实际问题的研究，同时与浦发银行的实际配置和收益情况进行了对比。 (3)提出了基于VaR的多阶段金融资产配置模型，在Carino的模型中引入了VaR约束，以防止在资产配置中投资组合承担过多的风险，进一步以我国的经济环境为依托，以安信基金为对象，在我国的经济环境的基础上进行了实证研究。并与安信基金实际资产配置、恒定混合策略进行了比较。 (4)考虑未来经济环境不确定情况下，根据个人消费、投资以及未来支付的特点，在Berger等人模型的基础上建立了个人资产负债管理多阶段随机规划模型。以我国经济环境为依托，进行了仿真计算，给出了个人资产配置、债务计划和消费策略。 论文最后指出了今后进一步研究的问题和方向。更多还原

【Abstract】 The process of economic globalization and financial integration accelerates and aggravates the risk of financial market. The fast development of institutional investors requires strengthening risk management. Asset allocation is vital means for risk management, while asset allocation which considers liability is effective means for risk management. Stochastic programming model of asset liability management is ideal for analyzing long-term risk in financial planning and management issues. Research on asset liability management is summed up from domestic and overseas bank’s asset liability management, insurance and pension plan, long-term financial planning issues and multistage financial asset allocation in this paper. Application of scenario generation and stochastic programming in multistage asset liability management is also discussed. Considering uncertainty of the future, research into domestic pension asset liability management, bank’s asset liability management, asset allocation of invest fund and individual financial planning is proceeded against a background of domestic economic situation. The following aspects are included in detail:(1) Based on stochastic programming model of asset liability management, constrains of the model is improved and model suited domestic situation for the asset liability management is established according to the internal practical situation. Furthermore, considering future returns of various assets, variation of wages and uncertainty of pension payment, the paying rate with the minimum paying cost and deficit punishment and the optimal asset allocation during the planning period are determined when rate of substitution for pension is 6% against a background of Liaoning pension management.(2)Using the stochastic programming with simple recourse to research into bank’s asset liability management issues, a model for bank’s asset liability management is brought up considering internal bank supervision’s requirement against a background of internal economic situation. Taking Pudong Development Bank as the object of research, the practical problems are studied and the contrast with the bank’s real asset allocation and return condition is carried out.(3) Multistage financial asset allocation model based on VaR is put forward. VaR constraint is introduced into Carino’s model in order to avoid portfolio’s bearing too much risk in the asset allocation.更多还原