A Study On Commercial Banks' Asset-Liability Optimization Under The Dual Restriction Of Liquidity And Capital

As a basic management regulation of modern banks, asset/liability management (ALM) is a comprehensive method with which banks manage the source and utilization of funds. With ALM optimization, the banks, making use of scientific management methods, timely adjust and manage the assets and liabilities according to economic and financial situation and market change, so that the assets and liabilities will be balanced in total amount, symmetrical in structure, optimized in quality, and best combination of security, liquidity and profitability is achieved and the goal of the banks is secured. Along with the great change of international economy and finance situation, the meaning of asset and liability optimization of commercial banks has been developed and enriched. Since the 1970s, continuous changes in financial area has aggravated the uncertainty of markets and increased the difficulty banking management both interior and exterior, and new dynamic and discretionary ALM emerged.The academic paper focus on the following subjects: how to realize the organic combination of risk factors and traditional ALM; how to measure risk and liquidity, which are the important intrinsic factors and restriction of the liability/asset optimization of commercial banks; how to introduce the risk and liquidity variables into ALM and construction optimization models of liability/asset based on liquidity & risk dual restricting to promote the overall level of the ALM of the banks in our country. These goals are the very aim of this thesis. In this paper, the author concludes that:Chapter One: This chapter sets forth the background and significance of this thesis' research, provides a review and comment to the domestic and international achievements on relevant issues, and summarizes the research method and main innovation of this thesis.Chapter Two: This chapter unscrambles and analyzes the theories and tactics on ALM of commercial banks, focusing on discussion of the development of these theories and tactics, stressing on analysis of various models, such as fund pool method,fund distribution method, interest sensitivity gap and duration gap etc. Actually this chapter forms the theoretical basis and beginning. Chapter Three: This chapter studies liquidity restriction condition of liability/asset of banks. First, it illustrates the meaning of liquidity, analyzes the measuring methods and instructs that liquidity degree depends on the symmetry of reimbursement periods of bank's liabilities and assets. Secondly, it investigates the influence of the active deposit reserve mechanism on liquidity, studies the idiographic tactics of liquidity adjustment and optimization. Finally, the article fractionize the liquidity as three kinds of cash flow: certain cash flow (CCF), random cash flow (RCF) and dynamic cash flow (DCF). And only if the liquidity reserve should be more than the sum of CCF, RCF and DCF, the bank could cope with liquidity need.Chapter Four: This chapter undergoes a research on banks' ALM restricted by risks. Risk is an important interior factor of asset and liability management of commercial banks, and asset and liability optimization should be done basing on risk analysis and management. Commercial banks always, under certain risk limits, seek maximization of profit and value through ALM Because of the risk restriction of commercial banks under the New Basle Accord, the banks lay more emphasis on the risk factors while managing their liabilities and assets. This chapter puts forward a concept of ALM bounded by risks. If we divided the total loss into three parts expected loss, unexpected loss and Catastrophe Loss, VaR equal to unexpected loss. Through strict mathematics analysis, we find the risk restriction condition of ALM----the capital at risk (CaR) must be above Asset VaR.Chapter Five: Constructed a optimization model which based on the dual restriction of liquidity and risk. The model subjected to the condition of dual restriction of liquidity and risk, the objective function is the maximization of net profit...