The Research On Bank's Assets And Liabilities Optimization Models Based On The Control Of Credit Risk And Interest Risk

Banking risk influences the banks'survival and social stability vitally. Credit risk management and interest rate risk management are core content of risk management for banks. Bank assets and liabilities portfolio optimization is a general risk control and resource allocation method.The present researches show that the banking crisis comes from assets allocation errors substantially, So improving efficiency and quality of asset allocation is very important for the maintenance of the bank assets " security, profitability, liquidity " in the best combination and enhancing viability and competitiveness of banks.This paper is divided into six chapters. The first chapter describes the basis of selection, process, methods and contents of related research in the paper. The second chapter structures the optimal model of asset portfolio to control both credit and interest rate risks. The third chapter discusses the double-risk-controlled optimization model for asset-liability management based on nonlinear interval numbers. The fourth and fifth chapters establish two kinds of optimization models of asset-liability portfolio based on the control of duration gap. The sixth chapter is the conclusion and outlook. The main contributions of the thesis are as follows:(1) This paper unveils the double immunization principle and builds optimal model of asset portfolio to control both credit and interest rate risk. by revealing the changes of the present value of loans which caused by the changes of market interest rate together with credit grad migration, the model immunized against interest rate risk as well as credit grad migration risk. With this model, banks can avoid the fluctuation of the net assets by control the interest rate immunization and credit grad migration immunization which can not be solved by the traditional single immunization model which could only control the interest rate risk, thus contributes a brilliant idea for assets distribution optimization and ensures the effect that equity rights not to loss when market interest changes.(2) This paper sets up the double-risk-controlled optimization model for asset-liability management based on nonlinear interval function, by controlling the credit risk of loan portfolio in the form of interval numbers, and constructing the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability. The special and contribution of this modle lay on five aspects. First, construct the immune constrain of interval interest rate through duration gap of interval numbers of asset and liability, which makes the optimization of assets be immune to interest rate risk with a changing yield of asset and liability. Change the unreasonable status that deposit and lending rates are considered as constants in existing literature. Second, the study shows that interval-biased selection parameter g of duration gap decides whether the reserved gap makes money or loses money. Study shows that:when the interval-biased selection parameterγof duration gap is 0.5, the absolute value of both ends of gap interval is in minimum; the moreγis greater than 0.5, the larger positive gap is, and more money is earned when interest rate declines. The moreγis less than 0.5, the larger negative gap is, and more money is earned when interest rate rises. Third, the research shows that selection of parameterλof the length of the interval decides the size of profit or loss; reveals that the chosen of lesserλcan get more risk-based return in positive interest rate management strategy. Fourth, control the maximum loss and protect the equity of shareholders in the condition that prediction for future market interest rate is wrong, through the target interval of a reserved duration gap. Fifth, set up the function expression of nonlinear interval-based risk portfolio through the semi-absolute deviation of the combination of correlation coefficient, changing the existing studies of linear interval-based algorithm, and simply linear weighting the risk of each loan, thereby exaggerating the disadvantages of portfolio risk.(3) This paper establishes optimization models of asset-liability portfolio based on VaR controlled prepared duration gap. Through the prepared duration gap, increase the bank net worth when there are favorable change of interest rate; at the same time use the VaR techniques to build constraints to control the prepared duration gap. With the changes of interest rates under adverse conditions, use the maximum loss limitation at a certain level of confidence to control the capital losses, therefore limit the interest rate of the banks that may face within the bank's net interest income to protect the interests of shareholders.(4) This paper establishes optimization models of asset-liability portfolio based on capital adequacy ratio controlled prepared duration gap. Changes in interest rates cause the changes of the market value of bank assets and liabilities, therefore cause the changes of the number of bank capital, and cause the change of the capital adequacy ratio. Through reserving the gap and optimizing the portfolio, make sure that banks can increase the net worth or owner's equity when there are a favorable change in interest rates and the bank can control the capital adequacy ratio when there are an adverse change in interest rates. The character of this type model is:Reflecting the erosion level of prepared duration gap to the bank's capital levels when there are the unfavorable change in interest rates, focusing on requirements that the laws and regulations of the bank's capital adequacy ratio. These two types of models make up the immunity weakness of traditional zero-gap which can not increase the bank's shareholder's equity amply when interest rate fluctuations deficiencies, therefore change the irrational status that there are lack of research of the prepared reserve gap theory.