Optimization Model Of Asset-Liability Portfolio Based On "Four Dimensional Duration" Interest Rate Risk Immunization

Commercial bank's assets and liabilities portfolio optimization is putting the assets and liabilities as a whole to allocate, realizing the maximization of the benefit of portfolio under certain risk tolerance and the constraint conditions, namely to meet profitability on the basis of liquidity and safety of commercial banks. With the advancement of our country's interest rate marketization, the interest rate's adjustment is more frequently, volatility is bigger. A lot of assets and liabilities which commercial banks owned are highly sensitive to interest rate's changes. If commercial banks can't take positive and effective measures to deal with interest rate risk, it will bring the banks very serious losses. Therefore, to strengthen the management of commercial bank's interest rate risk has become very important and urgent.This thesis is divided into five chapters. The first chapter introduces this article's research background and significance, research content and research framework. The second chapter introduces the establishment of "four dimensional duration" model. The third chapter introduces the optimization model of asset-liability portfolio based on "four dimensional duration" model to make the interest rate risk immunization. The fourth chapter is the application example and comparative analysis. The fifth chapter is conclusion. The paper's main research results are as follows:(1) Svensson model's parameter which reflect the changes of the yield curve's level factor, slope factor, curvature factor and kurtosis factor is introduced into the classic Nelson-Siege duration model. The "four dimensional duration" model is established. It can measure interest rate risk more accurately from four dimensions. Not only can reflect the Nelson-Siege duration level factor, slope factor and curvature factor, but also reflects the kurtosis factor.(2) Constraint conditions are making interest risk immunization by "four dimensional duration". The objective function is making interest income of commercial Banks largest. Optimization model of asset-liability portfolio to make the interest rate risk immunization is established to make sure that the net assets of commercial Banks is not lose when the interest rate changes.