A Study On Commercial Banks’ Asset-Liability Management Under The Double Restriction Of Liquidity And Capital

The Basel Ⅲ mainly proposed new regulatory standards of bank capital and liquidity, whichrepresents the trend of supervision of commercial bank.Structural imbalance is the main reason of liquidity risk, the number of assets and liabilities ofthe bank is random. To the funding liquidity risk, we must study the structure of bank assets andliabilities, and compare the potential demand of cash and the availability.First, the paper analysis the expected cash flow, and divided which into three parts: certaincash flow, uncertain cash flow and floating cash flow, and predicted the future aggregate liquiditygap. Then we analyze the availability, which is named the ability of integrated balance, andestablish a incremental constraint of short-term liquidity risk: the aggregation of liquidity gap andcomprehensive balance ability can’t less than zero.Secondly, duration is used in the paper, and establish constrains of liquid risk from the view ofmaturity mismatch: the average maturity of bank assets shouldn’t less than the average maturity ofliabilities.As the capital is expensive and scarce, the bank must go through a mechanism to allocationcapital rationally, promote the quality of bank development, control the growth of bad business andpromote efficient use of the scarce resource. The economic capital which is allocated can cover allthe risk. The minimum target of the allocation of economic of capital is that the expected loss islower than the predetermined level in the worst case. The higher requirement is the matching ofprofitability and the level of risk of the business unit, which can realizes the maximization ofRAROC finally. We establish the constraint condition with the minimum standards.The paper uses the income maximization as the goal, under the dual restriction of liquidity andcapital, which can management the assets and liability.At last, the article uses the econometric model analysis and fund that: there is a long-termstable relationship between the ratio of deposit to loans and the number of financial bonds, the netnumber of the interbank deposit, borrowing from the central bank, the total number of securities,the quantity of deposit reserve.