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A Study Of Assets & Liabilities Management In Commercial Banks In The Framework Of Financial Engineering

Posted on:2006-02-03Degree:DoctorType:Dissertation
Country:ChinaCandidate:H W ZhouFull Text:PDF
GTID:1116360155462694Subject:Finance
Abstract/Summary:PDF Full Text Request
The economic globalization has resulted in radical changes in the operation environment of modern commercial banks, which brings new requirements to the operational management of commercial banks. The assets and liabilities management in commercial banks involves various problems such as coordinative management of long-term and short-term objectives, coordinative management of risk control and customer relations, comprehensive and all process management.It will be a pioneering and innovative research if we combine the problems of assets and liabilities management in commercial banks in the framework of financial engineering, and propose an overall solution in the framework. This dissertation will discuss why financial engineering technology is required to work out an overall solution to the problems of assets and liabilities management in commercial banks, whether and how. The key research is how.In the necessity research of financial engineering, the dissertation analyses the requirements of operation and management in commercial banks because of the environmental changes in commercial bank operations. It is concluded that the assets and liabilities management in commercial banks is an overall and all process coordinative management. On the basis of literature summary, the dissertation discusses the limitations of approaches in assets and liabilities management, and proves the necessity of an overall solution to the problems in assets and liabilities management with financial engineering.In the feasibility research, the dissertation sorts out the theoretical system, methodology and strategy in the framework of financial engineering technology, makes a special analysis of the feasibility the relations between and application of financial engineering technology and assets and liabilities management in commercial banks. It is concluded that the analyzing principles and methods of financial engineering technology, the processing technology and methods of innovative financial tools and the dealing strategy and methods in financial engineering technological designing can be used to solve the problems of assets and liabilities management in modern commercial banks.An overall solution comes from the research from three respects: theoretical research, decision research and realization research. In theoretical research, the behavioral characteristic of assets and liabilities in modern commercial banks torealize objectives is studied. A key research is made on the behavior of assets and liabilities management in modern commercial banks. It is concluded that the behavior of assets and liabilities in modern commercial banks is essentially that of risk arbitrage in financial engineering. The spread is chiefly the result of various risk arbitrages. The strategy of assets and liabilities in commercial banks is actually that of controlled risk arbitrage. The conclusion provides a new sample to study he behavior of assets and liabilities management in commercial banks, and also a theoretical foundation to solve the problems in assets and liabilities management with financial engineering technology.In the research of decision problems, the dissertation studies the influential factors in the objective variables in assets and liabilities management of commercial banks and the selection of decision variables. The rationalization of interest sensitivity dollar gap analysis and duration gap analysis to be used as decision analysis tools in net interest income and capital value risk management is discussed. As an innovation, the risk/return frontier analysis framework is used to solve decision problems in combined interest risk management of assets and liabilities in commercial banks under complex circumstances, which provides a solution menu for assets and liabilities management in commercial banks, and finally a series of combined strategies for coordinated management decision of net interest revenue and capital value in commercial banks.In the research of realization, the dissertation discusses the role of customer relation in assets and liabilities management of modern commercial banks, and the shortages of structure regulation in traditional assets and liabilities. It points out that the basic idea of assets and liabilities management in modern commercial banks should center on customers, so that in the structure regulation of assets and liabilities a coordinative management of risk control and customer relation is needed. The dissertation also studies some new management ideas in structure regulation of assets and liabilities in commercial banks. The separation technology in financial engineering is used to separate interest risk and credit risk from underlying assets. For specialized management, the two risks are hedged, so that the problems in the management process of assets and liabilities in commercial banks will be well solved in the framework of financial engineering technology.The following research deals with the hedging strategy and methods of combined assets and liabilities structure regulation in commercial banks. In the hedging strategy research of combined interest risk in assets and liabilities of commercial banks, the"Smith Equation" is used to solve the problem of the selection of money/cash as linear derivatives tools. The pricing mechanism in financial derivatives tools is used to study the defensive hedging effect of financial derived tools. It is discovered that in the defensive interest risk management strategy, banks can obtain a definite spread with financial derived tools, but the spread is just a expected market spread to protect assets and liabilities combination from the effect of interest risk, not really an expected bank spread. The scenario analysis in the dissertation also proves the conclusion. A cash/money selection menu of derived tools is designed for the hedging of net interest revenue and capital value coordinative management.In the hedging research of credit risk in assets and liabilities combination, the dissertation discusses the exchange mechanism and exchange structure of operational hedging and financial hedging. After a comparison of effects on customers in separating credit risk in assets and liabilities combination various hedging approaches, it is concluded that financial hedging can both have effective control on credit risk and meet the requirements of CRM(customer relation management).After the research above, we think that the theoretical problems, the methodology problems and the strategy problems can be combined in the framework o financial engineering technology, and there will be overall and effective solutions to the problems in that framework.
Keywords/Search Tags:Commercial bank, Financial engineering, Assets and liabilities management, Net interest income, Capital value, Hedging, Customer relation
PDF Full Text Request
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