The Study On Asset Liability Ratio Management Of Bank Based On The Coordination Of Macroprudential And Microprudential

With the deepening of financial liberalization and rapid development of financial innovation, the business environment of commercial banks is becoming more and more complicated, and the management and prevention of risk is becoming increasingly important. Under such a background, the Basel Committee on banking supervision unveiled Basel Ⅰ and Basel Ⅱ, built up the microprudential supervision framework that based on economic capital. The risk management of commercial banks has entered a new stage. But the outbreak of the U.S. subprime mortgage crisis in 2008 exposed the lack of this supervision framework. The microprudential supervision framework whose aim is to ensure the safety of every single bank can not guarantee the stability of the financial system. To cope this challenge, the Basel Committee on banking supervision launched Basel Ⅲ in 2010, put forward a series of macroprudential supervision requirements, marking the supervision of commercial banks into a new period of macroprudential supervision. However, this new supervision way may put stress on the management. As an important way in the daily management of commercial banks, asset liability ratio management adapts to the special need of "three properties balance",which commercial banks pursue in their daily management and characteristics of ratio management which required by supervision departments.It will become a highlight topic in future banking industry that how to conduct an effective management under this new environment to fulfil the "three properties balance".At first, the paper reviews the domestic and foreign scholar’s theories on the supervision framework where microprudential supervision is coordinated with macroprudential supervision and Asset liability ratio management. Meanwhile it summarizes the theory of microprudential supervision, macroprudential supervision and Asset liability ratio management. Based on that, the similarities and differences of main operating tools between macroprudential supervision, microprudential supervision and asset liability ratio management are compared, and the impact of coordinated regulation on asset liability ratio management are analyzed. Through above analysis, this paper put forward the original asset liability ratio index system of commercial bank takes insufficient account of macroprudential and microprudential, lacks adequate consideration of requirement of counter-cyclical and dynamic management and function of economic capital. Through the introduction of economic capital constraints and macroprudential idea, the linear programming model of asset liability ratio management of commercial bank is improved. The improved management model adapts to the dynamic capital management, so that the asset liability ratio management meets the new requirements of the coordination of macroprudential supervision and microprudential supervision. Meanwhile, the improved model realizes the combination of asset liability ratio management of commercial banks and the concept of economic capital management under the macroprudential framework. Therefore, it improves the ability of risk management of commercial banks.Finally, this paper gave suggestions for Asset Liability Ratio Management improvement. It suggested perfecting computation model of economic capital, strengthening the incentive and restraint effect of RAROC, strengthening the consistency of the whole bank behavior, establishing dynamic management system, improving capital and liquidity management and strengthening risk identification.