基于宏观审慎与微观审慎协调的银行资产负债比例管理的改进

he original asset liability ratio index system of commercial bank takes insufficient account of macroprudential and microprudential, lacks adequate consideration of requirement of counter-cyclical and dynamic management and function of economic capital. Through the introduction of economic capital constraints and macroprudential idea, the linear programming model of asset liability ratio management of commercial bank is improved. The improved model can make the risk controllability stronger, adapt to the dynamic capital management, so that the asset liability ratio management meets the new requirements of the coordination of macroprudential supervision and microprudential supervision. Meanwhile, the improved model realizes the combination of asset liability ratio management of commercial banks and the concept of economic capital management under the macroprudential framework.