Dynamic Asset And Liability Management Model And Its Empirical Study For Commercial Banks In China

Asset and liability management (abbreviated: ALM) was originally avoided interest rate risk. With the development of ALM, managing market risk becomes a target of ALM. Then ALM becomes one method of financial institutions managing risk. Dynamic asset & liability management (abbreviated: DALM) should allocate multi-stage assets. Stochastic programming is a powerful modeling paradigm for DALM problems. Mathematical programming models for dealing with uncertainty are known as stochastic programs. Stochastic programming is recognized as a powerful modeling paradigm for several areas of application, include DALM in financial institutions.This is a general model of DALM in Chinese Commercial Bank, namely, ALM of multi-stage stochastic programming model for bank. In the case of stochastic interest rate and stochastic deposit flow, satisfying the premise of Chinese banking regulatory requirements, the banks maximize their profits through allocating assets in multiple planning horizons.In order to generate scenarios, this article applies the method of autoregression and Monte-Carlo simulation in stochastic programming models. Combined with the historical data, the model predicts the stochastic parameter using Monte-Carlo simulation method, which improved accuracy and feasibility of stochastic programming model.In this paper, it solves nonlinear stochastic programming model by MATLAB programming, and get the result of assets allocation proportion in each planning period. Through doing stability analysis and sensitivity analysis, get the result as following. In the Stability side, with the increase of number of simulation, the assets allocation proportion is very stable in the planning periods. In the sensitivity side, the most effects of the increased profits from the decrease of long-term deposit interest rate, the increase of short-term loan interest rate, the increase of long-term loan interest rate, the decrease of short-term deposit interest rate and the increase of bond yields in correct order; the most effects of the decreased profits from the increase of short-term deposit interest rate, the decrease of short-term loan interest rate, the increase of long-term deposit interest rate, the decrease of short-term loan interest rate and the decrease of bond yields in correct order.