The Research Of The Dynamic Matching Model Of The Asset-Liability Management Of The Chinese Commercial Banks

On the basis of using for reference many foreign and domestic papers, the thesis introduces the asset-liability management models by analyzing the theories of ALM in the commercial banks and comparing with ALM models which are influential international. Then, the author expatiates on Macaulay Durat ion Model which is influential and practical. This part extends the Macaulay Duration Model by using Vasicek Model in bond pricing thesis, iucubrates and discusses the Stochastic Duration Model, and estimates the parameters of the Stochastic Duration Model by using InterBank Offered Rate. And then, combining with the functional and surveillant mechanism of the Chinese commercial banks, the author estimates reasonably the cash flow producing in the asset-liability, and also analyzes demonstrationally the dynamic matching problem and immune effect of the interest rate in the Chinese commercial banks by using the Stochastic Duration Model. Finally, the author offers the countermeasures and the proposals about ALM of the Chinese commercial banks.