XX Bank's Asset-liability Matching Optimization Model And Its Application

The interest rate marketization is a great impact on the traditional banking business and profit,which makes the interest rate of the bank further narrow.As the bank’s traditional core business remains asset and liability business,the structure of assets and liabilities is difficult to change in a short time,interest income will remain a major component of bank revenue.This phenomenon will continue to exist in the short term,how to realize the fine management of assets and liabilities has important practical significance to the bank.Asset-liability management is not only a defensive risk,but also an effective means to create competitive advantage.The level of asset liability management determines whether banks can achieve the goal of risk control and value creation.Asset allocation errors will lead to banking crisis,asset-liability management theory and methods in the banking business process has an extremely important position.In this paper,the optimization is established,through the construction of asset liability time matching,industry concentration,and law-regulations to achieve the maximization of credit asset returns.Achieving a reasonable balance of bank assets and liabilities,the main results are as follows:Firstly,using the time constraints,legal constraints as constraint conditions,the optimization model of asset liability period is established based on maximization of the profit.The risk assets concentration is reduced by setting the bank concentration risk limits,effectively industry concentration will control in bank withstand.At the same time,the asset liability mismatch risk management is carried out to ensure that the asset liability maturity mismatch is within the bank scope,which effectively reduces the liquidity risk of asset liability matching.Secondly,the model of asset liability is established based on the maximization of unit risk return.Considering the bank’s benefits and risks,which ensure the maximum of the unit risk income,so as to achieve a reasonable allocation of assets between different customers,effectively avoid making the banks face greater risk exposure.