国际务与流动性管理：零售银行优流动性管理模型.pdfVIP

MSc(IEBF)

InternationalBanking

BankingStructures,InternationalBankingandEurocurrencyBanking

LectureNotes2

RetailBanks

AModelofOptimalLiquidityManagement

Traditionalactivityofbanking.Takingindepositsandmakingloans.

Letxdenotetheoutflowofdeposits

letf(x)=theprobabilitydistributionfunctionofthedepositoutflow

letr=theinterestonloans

letR=thestockofreserves

thenrR=opportunitycostofholdingreserves

letA=expectedadjustmentcostofreservedeficiency-‘liquiditycost’

Assumption:Theadjustmentcostisproportionaltothesizeofthereservedeficiency

letp=proportionalityfactor



thenAp(x−R)f(x)dx

R

expectednetcostsarec=rR+A



crR+p(x−R)f(x)dx

R

minimisingcost

c

Rr−pf(x)dx0

R



r

pf(x)dx

R

如果调整成本与调整的绝对规模成正比。那么;

AvR−R

0

在

R0=调整前的期初储备

R=调整后的期初储备

当实际储备不等于最优储备时，储备量的变化将降低成本

总净成本（tc）tccv(R−R)

0

tccv0