Combination Model Of Var-based Commercial Bank Balance Study

In the research of the commercial bank's asset-liability-management model, a part of scholars seem the yield as invariable. Their models can't control the risk reasonably; another scholar considered the uncertainty of the yield, but they did not consider the cost of liability. So their models can't incarnate the internal relations of asset and liability.Aiming at these disadvantages, according to the practical situation of the local commercial bank, this thesis set up a combination model of asset-liability-management based on VaR technology. By optimizing each loan of the enterprise, the variance of the enterprise's credit rating and the returns rates for different level affect the yield of loan portfolio directly. By maximizing the portfolio yield, the model can answer the prime loan proportion, which is considering the change of the enterprise's credit rating.The loan's yields of historical data on individual enterprise are used to get the correlation coefficient between different loans, and then get portfolio deviation and the VaR restriction on the model. At the same time, the expectation of loan's yields, which is produced on answering the loan portfolio value at risk, is putted into objective function. It avoids the uncertainty on seeming the yield as invariable. In addition, the model considered the cost of liability on the objective function; it gives prominence to the management objective of the bank.This thesis introduces the VaR restriction to the model, and applies the nonlinear programming theory of operational research. Considering the constrains on laws, regulation and operation, using portfolio profits maximum of bank's assets and liability as objective function, the commercial bank can establish the prime asset-liability proportion which will satisfied the requirement of risk controlling.