Study On Asset Liability Management Of China Commercial Banks Under Capital Buffer Discipline

In the status of interest rate liberalization,complex financial markets,financial globalization and other factors, China's commercial banks face the increasing complexity risks. Under the financial environment influence, how to effectively implement the asset liability management of commercial banks, to achieve better "Three balance" of commercial banks has become an important measure of the bank's core competitiveness.It also leads the connotation innovation of commercial bank asset liability management.After the global financial crisis in 2008, supervisory authority tried to make supervision rules in response of the global financial crisis and improve the ability of the entire financial system to combat systemic risk. In the end,G20 Seoul Summit approved the "Basel III" reform program in December 2010. "Basel III" is a new international supervisory regulations for the Universal banks. "Basel III" advanced a new regulation--Capital buffer mechanism.It is belong to the core of macro-prudential supervision.Capital buffer can effectively cover the systemic risk of commercial banks.It will ease bank's pro-cyclical trend which exacerbated by bank's micro-economic behavior and effectively compensate commercial banks unexpected loss.With the increased regulatory requirements, commercial banks is been asked for higher regulatory capital requirements.It also affects the commercial bank's asset liability management behavior. Therefore, how to optimize the commercial bank's asset liability management meeting capital buffer requirements is the core research of this study paper. This paper also focus on the research combination of macro-prudential supervision and micro-prudential supervision of commercial banks.First,the paper reviews and summarizes the domestic and foreign scholar's theories on capital buffers and asset-liability management. In the second chapter,I analysis the current situation of capital buffer level and asset-liability management of commercial banks.I explore the internal consistency and contradiction between the capital buffer level and the asset-liability management. In the third part,this paper study the impact of capital buffer against asset-liability management of commercial banks based on an angle of he efficiency of asset-liability management.Through the generalized GMM empirical model,I study the relationship between commercial bank's capital buffer and major balance sheet items, the structure of assets and liabilities,the asset liability ratio management. The empirical results show that: the stronger the capital buffer regulatory pressure, the lower the efficiency of listed banks.They are negatively correlated.Besides,large state-owned banks are facing regulatory capital buffer pressure which is stronger than stock commercial banks.Large state-owned bank's franchise value is higher than joint-stock banks, so it will be more inclined to maintain a high level of capital buffers. Finally, I establish a capital asset-liability management model based on the interest rate gap model to optimize the buffer constraints.The results indicate that the capital constraints buffer gap model allows commercial banks to achieve a better balance of risks and benefits.The asset-liability optimization model allows banks to change interest rates toward a favorable direction to effectively capture profitable market opportunities, achieve an increase bank net worth.the bank still remains unfavorable regulatory requirements in the change of interest rates towards a adverse direction, to avoid increasing the regulatory costs. Based on the above qualitative and quantitative analysis, this paper presents relevant suggestions.