Optimization Model Of Asset-Liability Portfolio Based On Immunity Condition Of Credit Risk Duration

Asset-Liability Management(ALM) is method which involves risk control and the resource allocation,and to view the assets and liability as an organic whole.It also coordinates the inside relation of the fund source and usage.ALM coordinates the liquidity, safety and profitability,and obtains the maximum profit under the acceptable risk.The change in interest rates leads to the change in the market value of asset-Liability of commercial banks,clients default cause asset of banks to suffer great losses;thus affect owners' equity and wealth.It is vital importance of managing the interest risk and credit risk for development and management of commercial banks.Through analyzing the shortcomings and problems of the existing research,sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk duration.There are four chapters in this paper.The first chapter is about background of present research,frame of research and main content.The second chapter introduces optimization principle of immunity conditions of credit risk duration.The third chapter set up the optimization model of asset-liability portfolio based on immunity conditions of credit risk duration.In the forth chapter,application example and comparison analysis.The main works of the paper are shown as follows:(1) Derive function expression of risk premium from put option principle.(2) Use the interest rate adjusted by risk premium instead of risk-free rate to construct immunity condition of credit risk duration.(3) This paper,which use immunity condition of credit risk duration,sets up optimization model of asset-liability portfolio based on immunity conditions of credit risk, and revenue maximization of loan portfolio's interest rate for aim.The main innovation of this paper lied on three aspects.Firstly,by setting up immunity conditions of credit risk duration to match asset-Liability of commercial banks,it avoid loss of owners' equity caused by interest risk and credit risk, and resolve the problem of decision method' arm and service object.Secondly,the discount rate which reflects default risk is used to express function of credit risk duration.It reflects the influence of default risk on duration.It can change the current paper assumption that default risk not related to duration. Thirdly,application of put option to establish the function relationship between default risk and discount rate discover effect of default risk on discount rate.