The Research On Optimal Models Of Assets And Liabilities Portfolio Based On The Control Of The Higher Order Risk

Asset-liability Management (ALM), the basic ability for modern commercial banks, focuses on risk control and value creation. The ALM optimal portfolio is the core work for modern banks'credit management. It also has the important practical significance to maintain the banks liquidity, safety and profitability, optimize the allocation of the economic resources and improve the banks' ability to survive and compete.The meaning of high-order risk in this article has two parts:one is the significant potential loose on portfolio return brought by the uncertainty of the higher central-moment of yield such as skewness and kurtosis. Another is the uncertainty of the 2nd derivatives of bonds price to interest rate of each periods, which affects the banks net assets in turn.There are five chapters in this article. The first identify the reason of choosing the topic, literature review and the method and content of this article. The second build ALM optimal model based on the higher-order risk control. The third build ALM optimal model based on directional duration and directional convexity. The fourth discuss and build ALM optimal model which control higher-order risk and interest rate risk at the same time. The last is the conclusion and prospect. The main contributions of this article are as follows:(1) Build ALM optimal model based on the higher-order risk control.Using skewness constrain to avoid the distribution of loan portfolio yield toward left of mean to reduce left side risk of general risk, using kurtosis constrain as the control of the distribution's fat tail on both sides to reduce the extreme loss, the optimal model of loan portfolio which targets the maximum rate of return on bank loans portfolio based on the higher central-moment constraints is set up. The model we built controls the portfolio's risk from multi-angle and extends the classic mean-variance optimal theory.(2) Build ALM optimal model based on directional duration and directional convexity.We built a portfolio optimal model by controlling the interest risk, which controls directional duration and directional convexity at the same time. The first major innovation of this article is we default directional duration, as the first derivative of the interest rate to assets or liabilities, subjects to different times of interest rate changes. So does the directional convexity, which is the second derivative of the interest rate to assets or liabilities. Changed the existing research based on matching the directional duration only. The second is we created the equation for directional convexity through the relations between the interest rate to assets or liabilities, subjects to different times of interest rate changes. Reflecting changes in the spot and the yield on the discounted cash flow, to change the existing research which ignored directional convexity and only takes effect for small changes in interest rates. Third, by using the directional duration and directional convexity double immunization optimal model, settled in different time slots of the yield curve regardless of changes in the amount of interest rate risk is the same issue of immunity, has changed the study assumed that the existing yield curve at different time has same amount of change, or simply immunity of traditional duration and convexity. In due course, protect the bank owners' equity from any interest changes.(3) Discuss and build ALM optimal model which control higher-order risk and interest rate risk at the same time.Build an ALM optimal model to control higher-order risk and interest rate risk at the same time by using the second-moment, VaR, as risk control of the loans portfolio, using the third-moment, skewness constrain, to avoid the distribution of loan portfolio yield toward left of mean to reduce left side risk of general risk, using the fourth-moment, kurtosis constrain, as the control of the distribution's fat tail on both sides to reduce the extreme loss, using the directional duration optimal model, settled in different time slots of the yield curve regardless of changes in the amount of interest rate risk is the same issue of immunity. This model improves the current research which could only prevent the higher-order risk or only the interest rate risk.