Optimization Model of Assets and Liabilities Management Based on Stochastic Duration

doi:10.12005/orms.2018.0192

Abstract

Abstract: Asset-Liability Management (ALM) is to achieve optimal allocation of assets under the constraints on the number and structure of the liabilities, and to realize the maximization return of portfolio by pursuing assets liquidity, profitability and safety. Through the interest risk immunization condition that stochastic duration gap of total assets and liabilities is zero, a total assets and liabilities optimization model is established, controlling interest risk of all the combination of existing portfolio and incremental portfolio. The main innovation and characteristics of this paper are as follows: First, by considering the existing portfolio risk in the asset allocation, we establish total asset and liability interest rate immunization constraints, taking into consideration the existing portfolio risk and increment portfolio risk, which change the existing research that does not consider total asset and liability risk when performing asset allocation. Second, we use stochastic duration to control the total asset and liability interest rate risk. By making stochastic duration gap between assets portfolio and liabilities portfolio equal to zero, we guarantee the degree of interest rate influence is the same, which changes the existing duration that can not accurately identify the random variation of interest rate. Third, using portfolio earnings as the objective function to maximize bank’s assets, supplemented by existing laws and regulations as the constraints, we establish all assets and liabilities portfolio model based on stochastic duration immunization, which changes the existing research that ignores the risk change to duration controlling.

Key words: bank asset-liability management, stochastic duration, vasicek model, total asset and liability portfolio

摘要： 银行资产负债管理是指商业银行在负债数量和结构一定的条件下、对资产进行优化配置,通过平衡资产的流动性、盈利性和安全性,以实现银行收益的最大化。本文通过Vasicek动态期限结构模型推导出随机久期,以包括存量与增量在内的全部资产随机久期等于全部负债随机久期为约束条件、控制利率风险,辅以现行法律法规等其他约束条件,建立全部资产负债组合的随机久期利率风险免疫模型,并通过算例说明本模型构建过程。本文的创新与特色有三:一是通过建立全部资产负债组合的利率免疫条件,对包括存量与增量在内的全部资产组合利率风险进行控制。改变了现有研究在进行资产配置时,仅对增量组合风险控制的弊端。二是通过资产负债的随机久期缺口等于0的利率风险免疫条件建立资产负债优化模型,确保在利率发生变化时,银行股东的所有者权益不受损失。三是以银行各项资产组合收益率最大化为目标函数,通过随机久期的利率免疫条件控制利率风险,建立了全部资产负债组合的随机久期利率风险免疫模型。改变了现有研究的资产负债管理模型忽略随机久期变动的影响。

关键词: 银行资产负债管理, 随机久期, Vasicek模型, 全部资产负债组合

CLC Number:

ZHANG Zhi-peng, CHI Guo-tai. Optimization Model of Assets and Liabilities Management Based on Stochastic Duration[J]. Operations Research and Management Science, 2018, 27(8): 135-148.

张志鹏,迟国泰. 基于随机久期利率免疫的银行资产负债优化模型[J]. 运筹与管理, 2018, 27(8): 135-148.

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