Dynamic Structure Optimization Of Assets And Liabilities Of Commercial Banks Under Uncertain Environment

In recent years,with the deepening of financial disintermediation,the processing of the interest rate marketization,and the impact of Internet finance on the finance,the environment faced by commercial banks is becoming more and more complicated,which makes the management of commercial banks face many uncertain factors,such as deposit and loan interest rates,deposit cash flow,deposit and loan period,and so on.These uncertainties may lead to a mismatch of maturity,a decrease in the level of risk control,a payment crisis,and so on.Therefore,how to optimize the dynamic structure of assets and liabilities under uncertain environment has become a hot topic for the finance to explore.This research considers various kinds of uncertainty factors,and studies the asset and liability management of commercial banks under uncertain environment.The main contents are as follows:First,the dynamic structure optimization problem of assets and liabilities of commercial banks based on random deposit flow is studied.A multi-period dynamic model with the revenue maximization as the objective function,the regulatory constraints of commercial banks,payment capacity constraints as the constraint conditions,and using genetic algorithm to solve the problem,finally proved the uncertainty of the deposit flow will reduce the profitability of banks.Second,the dynamic structure optimization problem of assets and liabilities of commercial banks with maturity matching is studied.A multi-period dynamic model with the revenue maximization as the objective function,the regulatory constraints of commercial banks,payment capacity constraints,maturity matching constraints as the constraint conditions,and using genetic algorithm to solve the problem,finally proved considering maturity matching can effectively improve the term structure of assets,reduce liquidity risk.Third,the dynamic structure optimization problem of assets and liabilities of commercial banks liabilities considering the non-performing loan ratio is studied.A multi-period dynamic model with the revenue maximization as the objective function,the regulatory constraints of commercial banks,payment capacity constraints,maturity matching constraints,loan loss constraint as the constraint conditions,and using genetic algorithm to solve the problem,finally proved the profits of the bank are reduced with the increase of the uncertainty of the non-performing loan ratio.The research draw the conclusion:according to the actual market environment,reasonable projections for all kinds of the uncertain factors,and reasonable asset allocation strategy can effectively reduce the operating risk of commercial banks,increase profitability,maintain flexibility and efficiency of commercial bank assets and liabilities management.