Research On Optimization Model Of Bank's Total Assets And Liabilities Based On Nelson-Siegel Duration Immunization

Assets and Liabilities Management(ALM)is banking,insurance and leasing and other financial institutions used to coordinate the assets and liabilities of the enterprise collectively.According to laws,regulations and capital structure constraints,optimize the allocation of assets by the number of liabilities and strive to ensure the safety of assets,liquidity under the premise of achieving greater profit margins.With the full liberalization of deposit interest rates,the interest rate fluctuates more frequently.The interest rate volatility of different assets and liabilities is different.And the interest rate term structure shows multi-dimensional changes.As the bank's owner's equity is equal to the bank's assets and liabilities,changes in market interest rates will lead to changes in the value of bank assets and liabilities,which leads to changes in the owner's equity and affect the interests of shareholders.In order to control the risk of changes in the rights and interests of the bank owners,we must establish the bank assets and liabilities optimization model through multi-dimensional interest rate risk.The bank assets and liabilities combination can be divided into two parts,inventory combination and incremental combination."Stock" is a lot,"incremental" is small,bankers are really concerned about is not a small amount of incremental asset liability allocation risk,but how to control the incremental assets and then control the "stock" and "incremental" in Within the combined risk.In this paper,the bank's total-asset-liability optimization model is established by controlling the interest rate risk condition of the Nelson-Siegel Duration Gap equal to 0.To control the total interest rate risk including the stock and increment.The thesis consists of the following four parts.The first chapter is the introduction.Through the introduction of the topic background and the meaning of the topic,analyze the impact of interest rate risk on the current banking sector and describes the significance of the Nelson-Siegel duration gap on total asset-liability optimization model.Through combing the current situation of Asset-Liability Management research and research status of Nelson-Siegel Model.Then point out the problems existing in the existing research and put forward the solution.Final get the main innovation and characteristics of the article.The second chapter is the related principle of Nelson-Siegel model.According to the Nelson-Siegel model,telling the economic meaning of each parameter in the Nelson-Siegel model.Constructing a Nelson-Siegel term expression which reflects the horizontal,slope,and curvature dimensions.And the use 12 CSI treasury sample data to perform a fitting calculation which will provide data support for Nelson-Siegel duration gap immunization.The third chapter is optimization model of total assets and liabilities for Nelson-Siegel duration immunity.The objective function is maximum the bank's stock and incremental interest income.Nelson-Siegel duration gap immunization with total assets and liabilities is used as interest rate risk constraint,Construct the Nelson-Siegel duration gap immunization optimization model of total assets and liabilities.The fourth chapter is the application example and contrast analysis.According to the allocation data of the bank's stock assets,stock liabilities and incremental liability to apply the model of total Asset-Liability Management based on Nelson-Siegel duration gap immunization for allocation the incremental asset,and compared with other models.Demonstrating the model has the advantage of controlling the total risk of interest rate.The main innovations and characteristics of this paper(1)The Nelson-Siegel model is used to decompose the change of interest rate term structure into horizontal,slope and curvature dimension,which can more accurate fitting of interest rates for different maturity periods.It effectively controls the interest rate risk caused by non-parallel movement of interest rate term structure.To make up for the existing research is mainly based on the maturity structure of the interest rate structure of the drawbacks of parallel movement.(2)Establish an interest rate immune condition for all portfolio liabilities by constructing a Nelson-Siegel term expression that can reflect the total stock liability of "stock + increment".Changed the drawbacks of the existing research in the allocation of assets that only the incremental portfolio risk control.