The Empirical Research On Asset-Liability Management Of Chinese Commercial Banks

Asset-Liability Management (ALM) of commercial banks includes a serious of complex quantitative technology and tools, and it becomes an important system about the financial strategy planning and risk management in many great western banks. During recent years, the top managers of banks and the researchers pay more attention to the comprehensive control and management of the risk management and extend their sight into the area, and more and more models and tools are used. The research content and the way of thinking in the ALM of banks experience profound changes.The work presented in this dissertation mainly focuses on the emperical study about the ALM of banks in China. By the gap analysis and financial parameter model we study the performance of the ALM of listed banks in China. The result shows that the ALM is not beneficial to the profit-making ability of banks despite the market interest rate recently keeps declining for a long time in China. There is no doubt that there are many problems in forecasting the interest rate, risk management and the trading strategy in financial markets among the banks. And the dissertation gives further evidence that the ALM ratio supervision system leads to some serious problems in the ALM term structure management and does not promote the efficiency of fund operation in banks when we study the factors that can influence the interest rate sensitive gap by building a complex model.Along with the high growth of the financing need of the bank, the adverse selection from the outside capital market will greatly influence the ALM of the banks. This dissertation introduces the adverse-selection effect to the ALM of the banks in terms of the character of ALM and asymmetry between the outside investors and the bank. We build a empirical model to test adverse-selection effect to the ALM in Chinese banks by use some suitable variable such as cumulative abnormal returns .The study also empirically employs different ways to show if there is the adverse-selection effect to the ALM of the listed banks in China, and we conclude that it is possible that the adverse-selection effect to the ALM among the sample banks exists .An ALM model system is built as a strategy finance planning and risk management tool in the dissertation, which includes two levels, the first one is a strategy ALM optimization model which is constructed by the different scene analysis and a multi-object programming technique. The empirical investigation gains a wonderful achievement than the actual operation of the sample bank. The second model is built for asset optimization based on CVaR technique and Vasicek model. With the help of Monte Carlo simulation, we utilize the model to hedge the market risk, and promote the treasury bills profit with the smallest exposure to loss. The result shows that we can get higher profit in assets allocation on treasury bills by the CVaR optimization models than the market index .The researches have important reference value for strategy balance sheet allocation and asset optimization decision in banks.