Research On Bank Asset-Liability Management And Their Applications

Bank Asset-Liability Management (ALM) has been a focus for a long time.Scientific and reasonable ALM technology and organizational framework will strengthen the bank's competing power. Now, our national banks'ALM level is in its early stage.Neither theory nor practice is mature.It's very necessary to make a study on Bank ALM.The article consider that the ALM should be partitioned into two parts ,one is technology and the other is organizational framework ,after a carefully study on existing condition of ALM.Then the article analyze the two parts and make a deep study on them.Looked from the technical angle ,the article analyze three kinds of technology which include immunization,value at risk(VaR) and dynamic technology.The article have got some improve in details, such as the computation of a concealed option's duration ,the use of VaR in credit risk control and the regulatory authority's responsibility on the application of stress testing .Looked from the organization aspect,the article analyze the principleof design and the realities. Then the article design a suitable organizational framework,a policy-making flow and a mechanism of urge drive by combineing the theory with realities.