Asset/Liability Management Of Bank Under Stochastic Interest Rate

As the basic management tool in modern commercial bank, asset/liability management has become an important means of guaranteeing the Liquidity, safety and profitability of the bank. In this thesis we try to construct an asset/liability management model, and use it for managing asset and liability in the bank under the uncertainty of interest rate. Then we use a stochastic programming model to simulate and approximate the uncertainty.The thesis started with asset/liability management theory of commercial banks .We give a review of development and the most recent advance home and overseas.Then it comes to constructing an integrated asset/liability management model, which take into account all the environment facts and the ones that will affect decision making in the process of ALM. The market value and duration of capital will be analyzed under stochastic interest rate.A stochastic programming model is established for the ALM problem under interest rate uncertainty, combining with term structure model and financial asset pricing theory. It also studies how to describe and approximate interest rate and asset price uncertainty of the optimization portfolio.For the application to the banking regulation, the model can be the diagnosis tool for banking supervision authority to understand and score the commercial banks'risk management. It can also be used to bring forward directions and regulatory requirements achieving the procedure-oriented instruction and regulation. The application of the model to banking regulation accorded with the risk regulation requirements.