Optimum Portfolio Model Of Bank Assets And Liabilities Based On Joint Risk Control Of Credit And Interest Rate

Assets and liabilities management is to optimize the allocation of bank assets under the premise of the total amount and structure of liabilities and to determine the proportion of various types of assets in the bank.Mismatches of assets and liabilities can lead to bank crises.The financial crisis in 2008 was caused by the bank's excessive allocation of subprime loans.In recent years,the "money shortage" caused by mismatch of assets and liabilities happened frequently.Credit risk and interest rate risk are the major risks banks faced.However,these two risks are not independent of each other.They are interrelated and interact.Considering one of these risks alone does not provide a comprehensive measure of the overall risk to the portfolio.Separating the two risks and adding them together will ignore the correlation between the two risks,which could lead to an underestimation of the risks.Therefore,asset-liability management needs to manage credit risk and interest rate risk as a whole.This paper studies the optimal matching of bank assets and liabilities from the perspective of the overall management and joint control of credit and interest rate risk.It includes three research topics:firstly,the asset-liability optimization model based on credit duration of default intensity,secondly the asset-liability optimization model based on the peak-tail feature of interest rate,thirdly the asset-liability optimization model based on the two-factor CIR of credit and interest rate.All three studies attempt to control credit and interest rate risk by optimizing asset allocation.These three focus on one topic and discussed step by step.The main works and innovations of this thesis are as following.1.Asset and liability optimization model based on credit duration of default intensity.According to simplification pricing theory assets value is equal to the risk discount rate discount of cash flow,credit risk premium of cash flow is calculated by default intensity and loss given default.By the discount rate containing credit risk premium changing the discount rate in Macaulay duration,credit duration measure model is established,which perfects Macaulay duration and improves the precision of the interest risk immunization.In fact,duration is the function of the discount rate,and the discount rate is the function of credit risk premium,so duration must reflect credit risk.By credit duration reflecting credit risk and interest rate risk,the relation function of credit duration gap and net value of bank.Constructing the immunity condition which is credit duration gap equal to zero,optimization model of asset-liability portfolio is established.This optiminzation model changes the disadvantage of Macaulay duration immunity which only can control interest rate risk,but cannot control credit risk.According to the Cox regression survival analysis model,through the default intensity as the product of the benchmark default intensity and the enterprise's own risk factors,the real default data of bank loans are used to fit the corresponding default intensity at different time points,and calculate default risk premium.By determining the default risk premium of enterprises at different time points,the duration of credit risk in current research is changed which ignored the time-variant default risk premium.2.Asset and liability optimization model based on spikes and thick tails of interest rate.Through the common factors of "risk-free rate of return" and the "business ability" of the quality factor,build a two-factor model of asset value.According to the mixed Gaussian distribution function of risk-free interest rate,Monte Carlo simulation is used to generate the random numbers of risk-free interest rates to determine the default losses of asset portfolios under different risk-free interest rates.The asset portfolio optimization model is built under the condition that the default loss is less than a certain threshold,which controls the default risk of portfolio under different interest rates.It changes the existing research to ignore the impact of the market interest rate on the default risk of the portfolio and can not simultaneously control the drawbacks of the two risks.The distribution function of the risk-free interest rate is fitted by the mixed Gaussian distribution "weighted by multiple Gaussian distribution functions" and the EM algorithm,which reflects the peak-thick tail characteristic of the market interest rate.Monte Carlo simulation is used to generate the random numbers of the risk-free interest rate obeying the mixed Gaussian distribution,so as to determine the portfolio default losses at different interest rates,reflecting the impact of the peak-thick tail characteristic of the market interest rate on the default loss of the portfolio.This disregards the drawbacks of the existing studies that overlook the impact of the peak-tail distribution of interest rates on the default risk.3.Asset and liability optimization model based on two factors CIR of credit and interest rate.Under the framework of the simplification pricing model,the CIR model is used to characterize the dynamic process of the risk-free interest rate and the default intensity.By measuring the changes in the value of assets under the combined effect of credit risk and interest rate risk,we construct the S-type utility function of bank investors.Aiming at the maximization of utility,the paper constructs the optimization model of assets and liabilities and controls the joint risk of credit and interest rate of portfolio.It changes the existing research that only consider one risk of credit risk or interest rate risk impact on investment utility which can not control the two risks overall.Using risk-free interest rate as a factor affecting the default risk,we estimate the intensity of default through the two-factor CIR model of "risk-free interest rate factor" and "credit quality factor",reflecting the correlation between interest rate risk and credit risk.In the optimization model,both credit risk and interest rate risk are taken into consideration,and the correlation between the two risks is considered.It changes the drawbacks of prior studies that ignore the correlation between the two risks in optimizing the portfolio and may lead to under-estimation of risk.This research draws lessons from the theory and method of asset-liability portfolio optimization both at home and abroad,and to study the optimal matching of assets and liabilities of commercial banks from the perspective of overall control of credit risk and interest rate risk.In theory,this study explores the impact of the correlation between credit risk and interest rate risk on bank asset portfolio optimization,and achieves the purpose of controlling both credit risk and interest rate risk by optimizing the allocation of assets and liabilities,thus enriching the existing asset liability management Theory and method.Inpractice,this study helps commercial banks to improve asset and liability management,enhance risk avoidance capabilities and prevent banking crises.It also helps commercial banks improve capital utilization efficiency and enhance profitability and competitiveness.