Application Of Vasicek Model In ALM Of The Chinese Commercial Bank

Nowadays, because of the uncertainty and risk that exist due to the integrating financial market and technological innovation, ALM have become the core concept of management in commercial bank. With the development of ALM, managing market risk becomes a target of ALM. Then ALM becomes one method of financial institutions managing risk.By analyzing the theories of ALM in the commercial banks, the thesis compares with ALM models which are influential international.In terms of the circumstance in China, it is very necessary to introduce quantitative methods and management style to risk of interest rate. Duration, is one of technology of quantitative management to risk of interest rate, is used widely in Western commercial bank. This part extends the Macaulay Duration Model by using Vasicek Model in bond pricing thesis, lucubrates and discusses the Stochastic Duration Model. From two sides, Vasicek Model is applied in asset and liability management. The one is, the author analyzes demonstrationally the dynamic matching problem and immune effect the interest rate in the Chinese commercial banks by using the Stochastic Duration Model. The other is, the price of coupon bonds is computered by Vasicek Model. Then, the auther use Monte-Carlo simulation to generate scenarios of yield and put them into CVaR Model to optimize the asset allocation. Finally, the author offers the countermeasures and the proposes about ALM of the Chinese commercial banks.