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The Risk-Profit Analysis On Asset Liability Management Research Of A Commercial Bank

Posted on:2004-12-21Degree:DoctorType:Dissertation
Country:ChinaCandidate:W J ZhaoFull Text:PDF
GTID:1116360092980652Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
The core problem of asset liability management is how to maximize a commercial banks profit under the condition that the banks risk is well controlled So, the equilibrium analysis method should be a basic method in studying asset liability management problem This problem not only relates to such research as how to arrange a proper asset liability structure and how to price a financial product, but also include problem of a banks optimal organization Chapter 1 is introduction Chapter2 is on the review ofprospect of ALM(asset liability management) theory, which in fact points out the signification of this research on economy practice Chapter 3 is on the management of liquidity risk and the optimal price of deposit and loan First, various methods of measuring liquidity risk are discussed, and especially, improved loan-deposit index is presented It proves that only the index that thoroughly considers the liquidity of assets can give parallelcomparison between any two banks Second, the relation between liquidity insufficiency and deposit-loan pricing is studied, and the optimum reserve equation and the deposit-loan pricing equation are presented in this paper, and the two equations are presented when profit is maximized and when liquidity insufficiency is considered respectively The result show that:①when the marginal opportunity cost of banks reserve equals to expected cost of liquidity insufficiency, the reserve is optimal, in other words, the optimal probability of liquidity insufficiency is the ratio of liquidity premium to punish interest rate②Contrary to Monti-Klein theory, when considering liquidity insufficiency, the pricing of deposit is profoundly contacted with the pricing of loan Chapter 4 is on the risk management of interest rate First, this chapter discusses the methods of how to express interest rate, and shows the mechanism of finance product being effected interest rate Second, severalfamiliar interest risks such as maturity non-matched risk, basis risk, net position risk, inter- selective risk and yield curve risk are presented Third, the chapteranalyses the relations between interest rate management and other financial risk management It points out that interest rate risk is a special form of market risk, and that the methods of interest rate risk management can be applied to foreign exchange risk management The loan-assets-cash-flow equation that considers the probability of default risk tells us that future cash flow is only affected by the risk of interest rate At last, the chapter studies the methods of measuring and controlling interest rate risk, and it focuses on the general discrete form of sensitivity and the duration under the condition that any yield curve is not flat and all yield curves are not parallel Chapter 5 is on VaR and portfolio selection First, the generalprinciple of VaR is 5 天津大学博士学位论文(Doctoral Dissertation of Tianjin University) 商业银行资产负债管理的风险收益权衡分析...
Keywords/Search Tags:risk, portfolio, matching
PDF Full Text Request
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