关键词: 资产负债管理, 利率风险, 动态久期, 线性规划, CIR模型

Abstract: This paper controls the interest rate risk of multiple assets and multiple liabilities based on the immune condition of CIR dynamic duration gap and establishes a linear programming model to make the optimal allocation of bank assets. The innovation and characteristics are: Firstly, we use the time dependent dynamic interest rate duration parameter to build the interest rate risk control condition, and establish an asset liability optimization model to control interest rate risk. Through our research, this paper changes the existing research that has neglected the dynamic change of interest rate and the dynamic change of the average duration. In fact, the dynamic change of interest rate will inevitably cause the change of average duration. If we ignore the control condition of interest rate change, the control of the interest rate risk of asset allocation will not be accurate. Secondly, we allocate the bank's assets and liabilities by using the maximizing profit of bank assets as objective function, the dynamic interest rate duration gap immunization as the main constraint, and the liquidity as the constraint. Thus, we avoid not only the impact of interest rate risk on bank equity, but also the changes of interest rates damaging the bank asset owners.

Key words: assets and liabilities management, interest rate risk, dynamic duration, linear programming, CIR model