Solving The Bank Liability Problem Based On Multi-objective Evolutionary Optimization Algorithm

Bank asset-liability management refers to the complex planning of all asset and liability positions on a bank’s balance sheet,including managing interest rate risk,liquidity risk,and risk to the bank’s net interest income.Therefore,the purpose of bank asset liability management is to promote the bank to achieve the best balance among profitability,safety,liquidity risk,and other uncertainties.Most of the existing research on bank liability management is at the theoretical level,and most of them propose to reform the system,system,and asset structure to solve the problem of bank liabilities.Only a few people create asset-liability models and use related methods Optimize the model and solve.Moreover,existing asset-liability research rarely creates a multi-objective asset-liability model.Even if a multi-objective asset-liability optimization model is established,it is often limited to simple numerical methods such as linear weighting and analytic hierarchy process,which is not intelligent enough.In response to the above problems,a multi-objective bank asset-liability model was constructed using the balance sheet of a local bank in Ganzhou as data,and a PNSGAⅡ algorithm based on the bank liability problem was constructed to solve it.The specific research contents are as follows:(1)Build a multi-objective bank asset-liability model.In this paper,the bank’s solvency,liquidity,and net interest income capabilities are used as the objective function,and the asset capital adequacy ratio,leverage ratio,and asset account of commercial banks are constrained by the stringent financial environment requirements,and the construction of a bank-based assetliability management The multi-objective complex constrained model of.(2)Build the PNSGAⅡ algorithm.In this paper,firstly,on the basis of the original NSGAII algorithm,a displacement penalty item based on the local minimum point is introduced to construct a new fitness value function.Secondly,the target is divided into priorities,and a priority-based parallel environment selection mechanism is constructed,thereby constructing the PNSGAⅡ algorithm.(3)Based on the 2020 balance sheet data of a bank in Ganzhou,the PNSGAⅡ algorithm is used to solve the multi-objective bank liability problem,and the practicability and rationality of the model are tested.Using the balance sheet of a certain bank as data and constrained by the bank’s financial environment,a multi-objective bank liability problem model is established,and then the model is solved using the PNSGAⅡ algorithm to obtain the asset-liability allocation structure under different priorities in 2021,and finally compare the obtained asset-liability allocation structure in 2021 with the actual balance sheet in 2021,analyze the achievement of each goal and constraint,and test the practicality and rationality of the model.The experimental results show that by using the PNSGAⅡ algorithm to solve the bank liability problem,the bank can choose a group of optimal solutions that are practical in the six groups of Pareto optimal solutions according to the actual situation,so that it is more convenient and objective to manage the liabilities in the next few years.