Optimization Model Of Asset-Liability Portfolio Based On Non-parallel Shift Interest Rate Risk Control

Asset-Liability Management is the basic capacity of modern commercial banks, and its key point is value creation and risk control. Asset-Liability Portfolio Optimization is the core of the framework of credit management in modern commercial banks. It is important to keep the optimum combination of "three characteristics" of commercial banks' assets and to realize the commercial banks' target of maximum benefit. The interest rate fluctuation causes the price of asset and liability to change at the same time, which is going to bring risk to the owners' equity and holder-wealth of bank. Therefore, it's very important for commercial bank to control interest rate risk.The thesis is divided into four chapters. The first chapter is the research background, the research content and research framework. The second chapter is the optimization principle of portfolio of the M-Absolute zero-gap immunization. The third chapter is the optimization model of Asset-Liability portfolio based on non-parallel shift interest rate risk control. The forth chapter is application and analysis. The main achievements of the thesis are as follows.(1) This paper puts forward the thesis of M-Absolute zero-gap immunization. Take the M-Absolute model that has none assumed conditions to immune the interest rate risk, which can avoid the problem that duration's limitation in effectiveness. Calculate the M-Absolute of assets and liabilities of commercial banks, and construct constraint conditions of optimization model of Asset-Liability portfolio based on the M-Absolute zero-gap.(2) This paper establishes optimization model based on immunization of non-parallel-shift interest rate risk. Taking the maximum interest income of loan portfolio as an objective function, taking the M-Absolute zero-gap immunization as constraint conditions, and considering the laws and regulations control, this paper establishes optimization model of asset-liability portfolio based on immunization of non-parallel-shift interest rate risk.The characteristics and innovations of this model are as follows.Firstly, 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. Current researches on duration immunity conditions are based on the hypothesis that the term structure of interest rates shifts in parallel. In fact, the parallel shifts are just the special case of the non-parallel shifts. Consequently, in this paper, the immunization on the interest rate risk which caused by the non-parallel shift of interest rate term structure is more universal.Secondly, discounting the cash-flow of the assets and liabilities by different forward interest rate makes the calculation of the M-Absolute 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 use invariable nominal interest rate.