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題 名 | 模糊決策下之銀行資產負債管理模型 |
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作 者 | 陳錦村; | 書刊名 | 管理與系統 |
卷 期 | 1:2 1994.07[民83.07] |
頁 次 | 頁159-176 |
分類號 | 562.38 |
關鍵詞 | 模糊決策; 銀行資產負債管理; 多目標規劃法; 利率期限結構; 金融法規; Fuzzy decisions; Bank assets and liabilities management; Multiple objectives/criteria programming approach; Term structure of interest rates; Governing laws and regulations; |
語 文 | 中文(Chinese) |
中文摘要 | 銀行之經營決策常因諸多環境因素影響而呈不明確之模糊現象。例如, 存放利率之訂定、最適準備部位、風險性資產比率,及資本適足比率等均無法以 精確之數學參數加以模式化。針對此決策特性,過去之專家學者係藉由機率理論 尋求解決之道。惟因該機率理論仍存在許多缺點,以致其實用性乃大大降低。有 鑑於此,本研究乃利用模糊理論中之可能性分配來處理決策問題中的不確定性特 質,俾期能以一較佳之決策模式,即模糊參數下之多目標規劃法,建立資產負債 管理模型,以供金融機構求取最適之資產與負債組合的指引。實證結果發現,銀 行如能有效地將模糊因素列入多目標模型中考量,則勢必對資產負債管理的配置 效益有所幫助。 |
英文摘要 | Management decisions of banks have become an imprecise fuzzy phenomenon due to the influence of many external factors. Modelling of precise parameters is impossible on such important decisions as the interest rates for deposits and loans, the optimal reserve position, the risky-asset, and the capital adequacy ratio. Decision characteristics of this kind prompted some scholars to try to find solutions through probability theories in the past. However, inherent shortcomings of such probability theories greatly reduced. their practicality. In view of this, this study uses possibility distribution of probability theories to deal with uncertainties of decision making; expecting to build a better decision model, i.e., multiple-objective planning under fuzzy parameters, in order for financial institutions to achieve an optimal combination of assets and liabilities. Empirical studies have shown that if banks can effectively take fuzzy factors into the multiple objective model for consideration, it will certainly be helpful to the allocation benefits of the management of assets and liabilities. |
本系統中英文摘要資訊取自各篇刊載內容。