Design And Implementation Of Asset Liability Management System

With the continuous development of bank operation and risk management,the Treasury(asset and liability)management of domestic banks has been advancing in the direction of refinement,differentiation and real-time.Traditionally,the system monitors and manages quotas through post-event gap analysis and scenario simulation.It is only a risk measurement tool and a risk quantification cost tool.It does not solve the real problem of Treasury management:the Treasury of a bank centralizes risk management,not aggregating small risks into large risks to control the total amount of quota,but decomposes risk dynamically,releases small risks in real time,adjusts positively according to the predicted reasonable structure,and creates value;that is,the process of optimal strategy selection.In order to better serve users,the project team decided to develop a asset liability management system.On the basis of meeting the basic regulatory policies and measuring risks,the project team solved the practical problems encountered in treasury management and realized the forward-looking management and strategic choice of asset and liability management.The asset liability management system designed in this paper uses SSM development framework,Maven as a project construction tool,SVN and GIT as version control tools.The database of the system extracts data directly from the data warehouse to form the financial instrument tables of each business.The assets,liabilities,equity and other business in each module are extracted from the corresponding financial instrument tables according to the specific reporting rules.According to the corresponding calculation rules,the processing results are analyzed,monitored,quota and early warning.I have completed five modules:basic configuration management,business perspective analysis,liquidity risk analysis,interest rate risk analysis and system management.(1)System management module:including user management,authority management,interface management and other functions.(2)Basic Configuration and Maintenance Module:Mainly configure and manage the currency,time step,yield curve,counter party and other information used in the system.(3)Liquidity risk analysis module:use engine to calculate cash flow in order to calculate static and dynamic liquidity gap,carry out various scenarios simulation and stress testing,provide indicators monitoring and quota early warning,formulate emergency plans and other functions.(4)Interest rate risk analysis module:including duration analysis,net interest income analysis,economic value analysis,stress testing,interest rate risk limit management and other functions,in order to achieve centralized management of interest rate and exchange rate risk.(5)Business perspective analysis module:provide liquidity risk analysis and interest rate risk analysis related to asset-liability structure/term analysis,dynamic quota and indicator early warning,extermal regulatory reports and real-time reports of day position management to assist the treasurer in decision-making.According to the existing problems in the asset liability management system and the latest regulatory documents,the system establishes a managerial and strategic wisdom Treasury(fine control,intelligent decision-making),carries out active interest rate risk analysis and liquidity risk analysis,carries out active strategie planning and selection,and truly realizes the unified management of liquidity,security and profitability.