Analysis And Design Of Asset Liability Management Software In Commercial Banks

Along with the information building process of the commercial banks, after decades of the application,its integrated business systems, card systems, telephone banking, Internet banking, and other computer system in the commercial banks application software has been ripend for stability, and aslo basically satisfied the commercial banking business processing. At the requiements of the central bank and the Basel Accord capital adequacy ratio requirements, as well as the commercial banks to their own development, the commercial banks gradually have been raised a big requiement to asset-liability management software.The demanding core of the Commercial banks asset-liability management software is the risk measurement of the market, the ultimate goal of the asset-liability management is to establish a modern asset-liability management system adapt to the market development needs and the internal funds transfer pricing system and the economy, capital paid distribution as a tool to interest rates, liquidity , and other various market exchange rate risk management at the core . The establishment of this system, will help avoid risks and control the market ,is conducive to scientific and rational evaluation of the performance, is conducive to strategic, forward-looking guide business contraction and expansion, and will help commercial banks to establish a correct philosophy.This paper covers mainly the following aspects:1. Surveys and studies on the needsof the asset liability management software business of the Bank of China and the Industrial Bank.2. Basic assets and liabilities ratio analysis, including: volume ratio, liquidity ratio and the proportion of security analysis, early warning and alert function values.3. Liquidity risk was analyzed, including: cash flow analysis, liquidity gap analysis and liquidity risk stress tests.4. Interest rate risk and exchange rate risk was analyzed, including: interest rate sensitivity gap analysis, net present value analysis, duration gap analysis; Open analysis of the foreign exchange risk, profit and loss analysis bank exchange rate risks; analysis and forecasting interest rate and exchange rate fluctuations. The calculation of the yield curve. The scenes of various factors simulation and pressure analysis.5. The analysis of the Asset liability management business on the output of statements generated, query and analysis , including satisfy the central bank, the China Banking Regulatory Commission and other agencies external audit of assets and liabilities of banks to disclose information on the status of the requirements of statistical statements, as well as for its own bank examination of statistical statements.6. Investigative research on asset-liability management software vendor products, including Sungard Fiserv two companies and products.7. Done a summary design for the function modules of the assets and liabilities of commercial banks management software, commercial banks asset-liability management software is based on the existing commercial banks computer systems design analysis of application software, a major component module ETL module, asset liability management module , funds transfer pricing module, statements show module.The main function of ETL module is available from commercial business systems extraction, conversion, cleaning, loading data; the main functions of the asset liability management module of ETL be established on the basis of data analysis model, an analysis of assets and liabilities; funds transfer pricing module assets is the basis for liability management, through the business model for the internal transfer of funds pricing.