The Research On Optimization Of Management Of Assets And Liabilities Of Commercial Banks In The Basel Ⅲ

As the asset liability management ability is the basis of the commercial banks’operating ability and due to the importance of the commercial banks to one country’seconomy, how to increase the asset liability management ability constantly is thealways-new topic for the commercial banks. The asset liability management is theall-encompassing and comprehensive business management conducted by thecommercial banks for their own business objectives, so as to balance the safety,liquidity and profitability. The core of the asset liability management is to control thefinancial risks and make value creation.The commercial banks’ business environment has undergone fundamentalchange with the economic globalization being pushed forward in all aspects since the1970s, which is displayed as that the financial innovation becomes fast with the loosefinancial regulation, the market volatility is exacerbated with the extensive usage offinancial derivative instruments, and the risks of the commercial banks are increased.As a result, the content of the asset liability management for the commercial banksbecomes richer and the financial technology is updated constantly. However, thefinancial crisis has erupted at times, with the time interval of the crisis shorter andshorter and the loss caused larger and larger. Since the subprime mortgage crisis in2007, the world economy has entered a period of comprehensive shake and economicrecession from the period of the Great Moderation with high growth rate and lowinflation rate. The subprime crisis has become the crisis with most serious losses andbroadest influence since1930s and even five years thereafter, the world still has notshrugged off the crisis. Under the crisis, heavy losses have been caused to the largecommercial banks in Europe and US, many financial institutions have either becomebankrupt or been acquired, which has caused the world financial industries andregulation authorities to rethink the commercial banks’ business management. Undersuch condition, the Basel Ⅲ was issued therefore. With the issue of Basel Ⅲ, thecapital constraint has been strengthened and the liquidity constraint index has been issued in the world for the first time.That the commercial banks of China have escaped serious loss in this crisis isnot because of high asset liability management ability but of the low financial marketopening, strict financial regulation and less financial products. We had been pushingto implement Basel II before the crisis and we have issued Chinese version of BaselⅢ within one year after the issue of Basel Ⅲ. The banks of China have encounteredcapital and liquidity regulation stricter than the world standard and the traditionalexpert assessment method and simple asset-liability ratio management can’t matchthe severe situation faced by the commercial banks of China with the Chinese versionof Basel Ⅲ implemented comprehensively on Jan1st of2012. Under such condition,to build asset and liability management optimal model under the dual restriction ofliquidity and capital for the commercial banks of China has great significance.In this paper, chapter1firstly states the topic’s background and significance,reviews the domestic and overseas research achievements, and introduces this paper’sthought, main content and innovation. Chapter2reviews the development of the assetliability management theories and tactics in western commercial banks, which foundstheoretical basis for this paper. Then chapter3makes deep analysis on why the2007subprime crisis was caused, consequently the change of Basel Ⅲ and the reasons ofissuing the Chinese version of Basel Ⅲ’s detailed standards are expressed and thegreat influence on the commercial banks’ asset and liability management in future isanalyzed.Later, in chapter4and chapter5, detailed research on the commercial banks’liquidity and capital constraint is made. The paper comments on the measuringmethods of the commercial banks’ liquidity and capital constraint, chooses propermeasuring methods based on the actual situations of the commercial banks in China,and builds the liquidity and capital constraint model after the paper makes detailedstatements on the definition of the liquidity and capital constraint.In chapter6, the bank’s maximum net profit function is built under the actualprofit composition of the commercial banks in China by means of the linearprogramming model and based on the aforesaid liquidity and capital constraint model,and then it concludes the asset and liability management optimal model under the dual restriction of liquidity and capital and empirical study is made on the assetliability management for the banks of China In chapter7, the policy proposals aremade on how to manage asset and liability of the banking of China are presented.In the end, the paper makes summary of the content and rethinks the shortageand the topic to be studied next.