An Empirical Study On The Asset And Liability Management Of China's City Commercial Banks Based On Stochastic Programming Model

With the rapid development of banking,the big changes of the bank pattern put forward new requirements in order to strengthen risk management for banks.As a effective risk management methodology,the asset and liability management can provide effective decisions for banks' decision makers.The city commercial banks are special groups of banking,and they promote the development of the whole banking.So it is meaningful to research the asset and liability managements of city commercial banks,and the study has certain reference significance to the development of banking.At first,this paper introduces the related concepts and theories of assets and liabilities management,and summarizes the common forms of stochastic programming models after reviewing the relative researches.Then,the paper establishes a assets and liabilities management model for our country city commercial banks'.The model becomes more suitable to the domestic conditions and conforms more to the management and development models of modern commercial banks by researching the current national laws.After that,the paper selects three city commercial banks as the research objects,builds scenario tree according to the settings of random parameters,and uses VAR models to generate the fitting equations of scene elements.Then,the paper uses the random sampling to generate scene elements' numerical value of each node.Finally,according to the empirical test results of validity analysis of asset ratio and the model of city commercial banks,to verify the validity of the model,And the paper gets the present situations of domestic city commercial banks'assets and liabilities management and puts forward relevant policy suggestions by comparing the optimal solutions which are found in the model with the actual proportion of assets.This paper is based on China's national conditions and the existing laws,Give full consideration to the use of sources of city commercial bank funds,and take the total capital adequacy ratio,interbank lending rate,lending rate and deposit reserve rate constraint to the asset liability management model of city commercial banks in China,to have a study of asset liability management of city commercial banks.The model is effective through empirical test and analysis.It draws a conclusion on the optimal decisions and provides new ideas for asset allocation.And it also provides a new reference for managerial decisions.