Commercial Banks Of The Goal Programming-based Asset-liability Management Study

Asset liability management for modern commercial bank is the important part of enterprise-wide risk management. Enterprise-wide risk management provides a management platform and framework for the commercial bank.With the swift development of the global finance integration and the increasingly intense competition between commercial banks, the commercial banks are confronted with much more risks.Besides credit risk,market risk as well as operational risk because of improper operation or exceed one's authority operation,legal risk and liquidity risk due to no good matching between assets and liabilities.Moreover, along with the comprehensive use of the financial derives,off-balance risks also intensify the management risk of commercial banks.The double-quick development of Information technology also induces a zero lag for financial events to the market.Considering the uncertainty is becoming more and more decisive in the asset liability management for commercial banks.In order to keep away and eliminate financial risks,both banks and scholars are seeking and developing better models and methods to carry through commercial bank enterprise-wide asset liability management under uncertainty.This paper established a dynamic moder for commercial bank asset and liability management based on goal programming and made a applied analysis for the model to provide the policy-making basis for commercial bank asset liability management.Firstly,about credit risk,we introduced the CSFPCreditRisk+ model which has been used in common in international banking industry, we elaborated its principle and analyzed its serviceability for banks in our country.About liquidity risk,we introduced the gap management technology to manage and control liquidity risk for commercial banks from two aspects:deadline structure match and the gross structure,and analyzed the method how to manage and control liquidity risk with gap management technology.Next,We made mathematic description of credit risk and liquidity risk control constraint conditions based on the analysis in foregoing sections.Finally, we introduced the constraint conditions of credit risk and liquidity risk into target programming model, take the laws,regulations and management terms as constraints,expands the application of the goal programming model to the off-balance, established a moder for commercial bank enterprise-wide asset and liability management based on goal programming and made a applied analysis for the model.This paper has following innovations:Firstly,the management department could control and management both balance and off-balance of commercial banks by using the model for commercial bank asset and liability management based on goal programmingSecondly,the management department could match the commercial bank assets and liabilities and control and manage the interest rate risk,credit risk and liquidity risk that commercial banks are faced by using the model for commercial bank asset and liability management based on goal programming.Third, the management department could make more correct decisions under uncertainty by using the model for commercial bank asset liability management based on goal programming.The commercial bank are faced with more and more uncertainty, this model could make a random simulation analysis aiming at the most important interest risks,credit risks as well as liquidity risks that commercial banks are faced with.This model provided the policy-making basis for commercial bank asset liability management under uncertainty.