A Study Of Financing Model Based On Stochastic Programming Model

As China’s development financial institutions, China Development Bank has madesignificant contribution for the national infrastructure, basic industries and pillar industriesto provide long-term financial support, guide social capital to invest, and ease theeconomic development bottleneck. However, with the further expansion of its credit,problems became increasingly prominent, such as the source of funds is limited, termstructure of liabilities does not match the structure of assets unreasonable. It’s atremendous challenge to asset and liability management and risk control for the bank.Asset and Liability Management stochastic programming model is proved to be veryeffective for the analysis of long-term financial plan, and has been used into the actualmanagement of foreign commercial bank. In this paper, stochastic programming modelwas built by taking into account uncertainties like interest rates and new loan demand.Though using a penalty factor, the liquidity ratio, the proportion of long-term liabilitiesand other constraints, CBRC regulatory requirements for commercial banks of China andcharacteristics of the development finance are also considered to construct the optimalmodel of the term structure of bonds. Furthermore, the optimal ratio of new bonds wascalculated in the period of2011, and compared to the actual size of new loans and debtstructure with China Development Bank.The results show that interest rates and loan demand predicted by the vectorauto-regression is closer to the actual value, but bond structure calculated by model havesome difference with the real data. Which can be explained by reasons such as lack of datadetails and the debt maturity and the duration of its assets does not match.Finally, the text specified in problems of the model, as well as the specific directionfor further research.