Optimal Model Of Asset-liability-management Of Bank Based On The Dynamic Interest Rate Immunization Of Interest Rate Risk

Dynamic interest rate model for optimal asset-liability-management, is based on the interest rate, on the basis of the Banks' balance sheets of assets and liabilities of the optimal allocation, for assets and liabilities management and business decision-making, in order to realize the interest rate risk, improve the income.This paper uses term structure of interest rates model with the duration model to constructs dynamic interest rate model for optimal asset liability management.The main research contents of this paper are shown as follows:(1) By introducing dynamic interest rates duration to calculate the dynamic interest rat duration of assets and liabilities, to measure bank interest rate risk.(2) Through with the goal of maximizing the Banks' income function, dynamic interest rate duration gap immune main constraints, supplemented by regulatory liquidity constraints, match the bank's assets and liabilities, building contrast model.The innovation and characteristic as follows:Firstly, by introducing dynamic interest rates into duration to control the interest rate risk, building the optimization model. Change the current interest rate dynamic and then ignore the duration of dynamic change. In fact, the dynamic changes of the interest rate will cause the changes of average duration, ignore the immune condition of interest rate changes will not be able to accurately control the asset allocation of interest rate risk. Secondly, through with the goal of maximizing the Banks' income function, based on dynamic interest rate duration gap immune main constraints, supplemented by regulatory liquidity constraints, match the assets and liabilities, avoid the influence of interest rate risk on owners' equity, to avoid the interest rate changes on bank assets owner.