Research On The Optimization Model Of Asset-Liability Portfolio Based On Double Immunization Of Interest Rate Risk

ALM(Asset-Liability Management) is a kind of total risk control and the resources supply methods, and to combine the assets and liability to see as an organic whole. It also moderate the inside relation of the fund source and using. ALM moderates the liquidity, safety and profit, and carries out the maximum profit under the acceptable risk.There are six chapters in this paper. The first chapter is about the significant of the research, present research review, frame of the paper and main content. The second chapter introduces the basic theory of the model of this paper. In the third chapter, the paper sets up the principles of double immunization portfolio optimization. In the fourth chapter, the paper builds the optimization model of asset-liability portfolio based on double immunization of interest rate risk. The fifth chapter is the empirical study and the comparison analysis. And the last chapter is the conclusions.The main works of the paper are shown as follows:(1) This paper puts forward principle of double immunization portfolio optimization and reveals function expression of the relationship between the net value of banks and convexity.(2) The paper sets up optimization model of asset-liability portfolio based on double immunization of interest rate risk by taking duration gap immunization and convexity gap immunization for condition, and loan portfolio's interest rate risk controlling for aim.The main innovation and characteristic of this paper is that it sets up duration gap immunization condition and convexity gap immunization condition in arrangement decision of loan portfolio at the same time firstly. This ensures the effect that equity rights not to loss when market interest changes. It solves the problem that who the asset-liability management decision model and method is work for and how to control interest rate risk of loan portfolio. It changes the situation that optimizing result is not appropriate causes by considering the effect of convexity to interest rate risk as zero in now's researches. It determines the equivalent term of non-ascertain term asset according to equivalent term principle secondly. This solves the problem how to determine the duration and convexity of deposit reserve and provision, and it changes the unreasonable condition that it acquiesce the duration of non-ascertain term asset as zero in current research.