| Asset/Liability Management (ALM) is vital in commercial banks' internal control. It is not a longtime for Chinese commercial banks to engage in ALM, and most of them still use the traditionalmethods of proportion management. The research of Chinese scholars in ALM focuses on twoaspects; one is empirical analysis of bank risks with proportion management method, the other isthe balance sheet analysis of a branch with advanced gap model or Var model, which is lack ofpersuasion on banks' all-round risks.This dissertation combines the advantages of the two research methods above, chooses ChinaMerchant Bank (CMB), Pudong Development Bank (PDB), Minsheng Bank, Huaxia Bank andShenzhen Development Bank (SDB) as samples, and uses several models to analyze the asset andliability structure and relative risks of Chinese commercial banks.Chapter 1 is introduction, which is about the research background, research objectives and theresearch methods of this dissertation.Chapter 2 reviews the evolvement of ALM theory and common-used ALM methods, includingproportion management method and common method measuring liquidity risk and interest risks.Chapter 3 analyzes the five listed banks' performance on liquidity, security and profitability withthe index system of ALM proportion management.Chapter 4 is empirical analysis of commercial banks' asset and liability structure and liquidity risk.Based on the data, the dissertation chooses liquidity gap model to analyze the asset liquidity, theliability liquidity and liquidity gap of each bank, and gets the liquidity position of each period andthe characteristic of liquidity risk. In addition, it proves the viewpoint that liquidity overplus existin most Chinese banks.Chapter 5 is empirical analysis of commercial banks' asset and liability structure and interest risk.Based on the data, the dissertation chooses interest sensitive gap model to measure every banks'interest position in each period, and compares breadthwise.Chapter 6 is sum-up and expectation. |
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