Study On Stochastic Programming Models For Bank Of Asset Liability Management

Since 1990s, the bank business becomes more and more complex while the technology goes ahead, the economy expands, the bank business becomes diverse and the financial organizations cooperate and compete with each other at the same time. As a result of economic fluctuation, the banks reply on the Asset Liability Management to add benefits and become more competitive more than before. So the commercial banks and the financial theory field attach more importance to the Asset Liability Management which is the emphasis of commercial banks'risk management.In this essay, we develop a model for asset and liability management suited to the domestic circumstances in China based on the multi-period stochastic programming with simple recourse model, considering the actual limit of budget constraint, law constraint, liquidity constraint, capital plenitude constraint and policy constraint. Using the model, we give an empirical study on the Shanghai Pudong Development Bank and get a conclusion. And then we put forward some suggestions based on the empirical study and the actual situation of Shanghai Pudong Development Bank.This essay is composed of six chapters. The first chapter is an introduction, which introduces the study background, the significance of the study and reviews the related articles..The second summarizes the theory of asset and liability management and the stochastic programming model and development process. The third chapter is a stochastic programming model for asset and liability management which describes the whole frame of the asset and liability management and scenario generation. The forth part is the application research of the stochastic programming model for asset and liability management of commercial banks, which applies for the Shanghai Pudong Development Bank, compares and analyzed the differences between practical data and optimal data of the bank. The fifth part gives some policy suggestions about it.And the sixth part is the conclusion and points out the problems to study further.