| Asset-Liability management (ALM) is a core of the business management and a comprehensive management work for optimizing the allocation of funds in a modern commercial bank. Applied to commercial banking, Asset-liability management refers to the plan that directs and controls all kinds of assets, liabilities and those of off balance-sheet contracts. According to the actual demand, commercial banks, with the scientific management system and instrument, keep the balance of the total volume and the optimum of the constructions, to achieve the coordinated equilibrium among liquidity, security and earning, and hence succeed in the object of self-adjustment, self-constraint and self-development. Through a long process of exploration and practice, commercial banks have established a set of the scientific systematic and full-scale theories and approaches of ALM, ranging from the simplest method--- the pool of founds, to the current scenario dynamic simulation approach, which utilizes the advanced mathematical techniques and computer-based technology. In addition, more advanced financial intermediaries are still continually springing up. Both the market opportunity analysis and the precisely quantitative management are the essence of commercial bank ALM. So when the modeling management arises, it has widely been used among west commercial banks' business management. In our country, the efforts have been made in transforming stated-owned banks into modern commercial banks for several years and ALM has been introduced into commercial banks. With a lack in experiences and knowledge of the ALM, it is urgent for us to learn the mature theories and the successful experiences form the foreign commercial banks. In this thesis, firstly, to lay firm foundation of the theory for the thesis, a systematic discussion is made in the development process of ALM theories in the west commercial banks: the commercial loan, the shiftability theory, the anticipated income theory, the liability management theory, and the asset-liability comprehensive management. Secondly, a detailed study is made in the various models that embody the principle of liquidity, security, and earning in the commercial bank ALM. The earning is reflected through the linear programming model, the liquidity through the seasonal liquidity time series model, the security through the sensitive gap model, the duration gap model, and the net portfolio value model, at the same time, the author points out the flaws of every model. Thirdly, an analysis is carried out in the characteristics of ALM of commercial bank enforced in our country. Finally, it is pointed out that the modeling management should be encouraged for the ALM to develop in commercial banks. Furthermore, some rectifisations are suggested to the models popular with west commercial banks, As a result ,a new model of the liquidity management is put forward for commercial banks in our country, considering the difference between the commercial banks of our country and those of developed countries. This dissertation consists of four chapters. The first chapter is the preface in which a discussion is made about the concept of ALM and distinguishes the ALM from the asset-liability proportion management. The ALM is a scientific self-management, and an outcome of business management's science and business environment combining, while, the asset-liability proportion management is, in essence, an instrument with which the central bank supervises commercial banks. So, there are different objects, contents, and instruments of the management between both. Meanwhile, there is also a compact connection between them, the connection that ALM is the micro-base of the asset-liability proportion management. Therefore, they are consistent in some respects. The modeling management that has been the date development of ALM in recent years uses sophisticated models and advanced mathematical techniques aided by computers to manage the assets and liabilities of the bank. With this method, commercial banks can precisely... |
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