CAJ | 학술논문

目前，利率市场化改革作为重要的市场化内容之一正在逐步推进，商业银行面临的利率风险逐步增大；商业银行资产负债优化管理以风险控制管理作为其重要目标，其重要性越来越得到重视。文章主要通过建立一个基于VaR控制预留缺口的资产负债组合优化模型，利用历史数据简单有效地估计短期未来市场利率的变化，并通过实例应用得出商业银行资产负债分配的最优方案从而达到资产负债管理的目标。
목전，리솔시장화개혁작위중요적시장화내용지일정재축보추진，상업은행면림적리솔풍험축보증대；상업은행자산부채우화관리이풍험공제관리작위기중요목표，기중요성월래월득도중시。문장주요통과건립일개기우VaR공제예류결구적자산부채조합우화모형，이용역사수거간단유효지고계단기미래시장리솔적변화，병통과실례응용득출상업은행자산부채분배적최우방안종이체도자산부채관리적목표。
In the background of deepening the reform of the financial market ,the market -oriented reform of interest rate as one of the important marketing content is gradually advancing ,and the effecting of inter‐est rate risk on financial institutions increased gradually .As an important objective of the commercial banks’ asset liability management ,risk control management is attached more and more importance .This paper aims to estimate short‐term future market interest rate changes simply and effectively ,mainly gets through the establishment of a VaR control reserved gap of asset liability portfolio optimization model based on using historical data ,and puts the application of examples to find the optimal solution of the allo‐cation of assets and liabilities of commercial banks w hich expects achieve the goal of the management of as‐sets and liabilities .