| Asset-Liability management is the basic ability of modern commercial banks, the core of which is to create value and control risk. Asset-Liability combinatorial optimization of commercial banks is the core content in the framework of a modern commercial bank management. It is of great realistic significance to maintain the best combination of "three characters" of the bank's assets, optimize allocation of resources, enhance the bank's viability and competitiveness.This paper is divided into five chapters. The first chapter describes the basis of selection, process, methods and contents of related research in the paper. The second chapter builds the loan portfolio optimization model based on credit risk management. The third chapter discusses the Asset-Liability portfolio optimization model based on the interest rate risk. The fourth chapter discusses optimization model of Asset-Liability portfolio based on credit risk duration immunization of interest rate risk. The fifth Chapter is the Conclusion and Outlook. The main results of the thesis are as follows:(1) It sets up distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio.This paper treats the enterprise loan as a loan portfolio and optimize this load portfolio by maximize the portfolio value, thus the loan's time value and inner value can be same reflected and successfully confirm the objective of loan portfolio optimization. It is a pursuit of the biggest gains based on avoiding heavy losses. In order to open up a new thought of assets' optimal allocation and address the major issue of avoid the risk of bank loans, it sets up distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio. Using the portfolio value maximum of bank's assets as objective function, both reflect the double goal of income maximization and risk minimization, enable a more accurate distribution policy of the loan portfolio, and also resolve the overall measurement limitation of single objective function on income and risk.(2) It sets up optimization model of loan's portfolio utility maximization based on the yield of VaR.Optimization of asset portfolio is the decision that maximizes the expected utility of investors. This paper controls the risk through Value at Risk (VaR), distributes loans according to the maximization of banks' utility on the efficient boundary of the loan's portfolio, and establishes the decision model for the maximization of the utility of the loan's portfolio based on the restriction of VaR. This paper maximizes the utility of loan's portfolio with the control of its VaR, which can solve the problems of existing studies that the control of risk is neglected while maximal utility is considered, and that the utility can not be optimized under the control of VaR. It optimizes loans to distribute them through the maximization of the utility of loan's portfolio and represents one nature of the Optimization of Asset Portfolio that maximizes the expected utility of investors, changes the situation among most existing studies based on subjective risk and yield, removes the subjective factors in the distribution of loans, and solves the problem between the decision model and purpose.(3) It sets up optimization model of Asset-Liability portfolio based on directional duration immunization of interest rate risk.The paper sets up optimization model of asset-liability portfolio based on immunization of interest rate risk by taking directional duration gap for condition, and loan portfolio's interest rate risk controlling for aim. It uses directional duration portfolio optimization condition to control interest rate risk of loan portfolio. Discounting cash-flow by different spot interest rate in different period of time which changes the unreasonable condition, it discounts cash-flow by the nominal rate in current research. It reflects the influence of different spot interest rate in different period of time on the average pay-off period.(4) It sets up optimization model of Asset-Liability portfolio based on non-parallel shift interest rate risk control.Introducing M-Absolute to immune the interest rate risk caused by the non-parallel shift of yield curve, this paper establishes the principle and optimization model of Asset-Liability portfolio based on immunization of non-parallel-shift interest rate risk. This model matches the assets and liabilities of commercial bank by M-Absolute zero-gap immunization, which controls the interest rate risk caused by the non-parallel shift of interest term structure. Discounting cash-flow of the assets and liabilities by different forward interest rate, the calculation of the M-Absolute is more accurate, which reflects the various yield point changement, improves the accuracy of the calculation of the M-Absolute and changes the discounted methods that used invariable nominalinterest rate.(5) It sets up optimization model of Asset-Liability portfolio based on credit risk duration immunization of interest rate risk.This paper which use the interest rate adjusted by risk premium instead of risk-free rate, sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk, and loan portfolio's interest rate risk controlling for aim. It can avoid loss of owners' equity caused by interest risk and credit risk. Application of put option to establish the function relationship between deflaut risk and discount rate discover effect of deflaut risk on discount rate. The discount rate which reflects deflaut risk is used to express function of credit risk duration. It reflects the influence of deflaut risk on duration. It can change the current paper assumption that deflaut risk not related to duration.This paper bases on financial field frontier, establishes decision theory and decision methods of Asset-Liability management. It establishes new theory and sets up new models for the eommereial bank, thus results in promoting the perfection of the oretieal system on Asset-Liability management.
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