商业银行头寸管理的数学建模研究

Research on Mathematical Modeling of Commercial Bank Position Management

摘要: 本文以商业银行作为研究对象，分析银行在头寸管理过程中遇到的问题，根据头寸管理的实际价值提出一种合理化的数学建模框架，对银行头寸管理展开定量分析，从中寻找随机变量净头寸的概率分布情况，采用“非参数核估计”，通过矩估计法获得函数中参数估计值，以此确定密度函数，得出以下结论：给定显著性水平α=0.05的时候，置信水平1-α为95%，银行在营运时间内，实施头寸管理需要保持多少现金更加合理。

Abstract: This paper takes commercial banks as the research object, analyzes the problems encountered by banks in the process of position management, proposes a rational mathematical modeling framework according to the actual value of position management, carries out quantitative analysis on the bank position management, finds the probability distribution of the net position of random variables, uses the “nonparametric kernel estimation”, obtains the parameter estimation in the function through the moment estimation method. Based on this, the density function is determined and the following conclusions are drawn: given significance level α=0.05 and confidence level 1-α is 95%, what is the most reasonable amount of cash for the bank to maintain when implementing position management during business hours?