Optimization Model Of Asset-Liability Of Urban Commercial Banks

Optimization model of asset-liability is significant for commercial banks on rational development planning and effective control of risks. At present, China is in a period of adjustment of economic structure, as the gradual deepening of financial system, frequent fluctuations become common. Meanwhile, the problem of single structure of assets and liabilities, the imperfect risk management of commercial banks will become increasingly prominent.Due to the special background of formation, and unique market position in the financial markets, urban commercial banks are greatly affected by changes of the external environment. Based on this, staying close to the actual urban commercial banks and uphold principles of applicability and operability, this study builds an urban commercial bank optimization model of asset-liability according to the bank’s business objectives. Additionally, this article optimizes the structure of asset and liability by referring it to the leading benchmark banks.The main research results are as follows:(1)Build an urban commercial banks’ Dynamic Optimization Model of Asset-LiabilityThis paper studies build a balance dynamic optimization model from the perspective of urban commercial banks, combined with actual characteristics. In the building process, design ideas, assumptions, the objective function and constraints are all combine with characteristics of urban commercial banks. In addition, the model sets up short-term and long-term constraints, pessimistic and optimistic constraints, and obtains the optimal structure under different scenarios, so that the model has good adaptability.(2) Demonstrates the difference between urban commercial banks’and large commercial banks’assets and liabilities structureBy analyzing the current urban commercial bank’s balance structure and the four major state-owned commercial banks’balance structure, the study demonstrates that urban commercial banks and four state-owned commercial banks have difference in the internal structure of assets, loans structure, deposits structure etc.This paper bases on financial researches forefront of Chinese, not only enriches the study of commercial bank assets and liabilities management, but also provides a reference for balance structure optimization decisions, and provide ideas for regulators.