ALM Model for Chinese Commercial Banks using Stochastic Programming

摘要：

Chinese commercial banks are confronted with many restrictions and uncertainties from both the industry system and the economic environment. This paper describes a model using multi-stage stochastic programming framework with time periods of 1-year length. Scenarios for random returns and cash flows are generated corresponding to dynamics of emerging markets with high volatility and some rigid government policies. Information updating is taken into account to get the real-time optimal decisions. The approach is described in terms of an illustrative case study of China Minsheng Bank and shows its superiority in financial application.

关键词： Multi-stage stochastic programming Scenario generation Chinese commercial bank Asset and liability management

作者: Yin Guo Ruoen Ren Yunpeng Wu

作者单位: School of Economics & Management, Beihang University, Beijing 100191, P.R. China

会议类型: 国际会议

会议名称: The First World Congress on Global Optimization in Engineering & Science(第一届工程与科学全局优化国际会议 WCGO2009)

会议地点: 长沙

会议语种:英文

页码: 101-106

在线出版日期: 2009-06-01（万方平台首次上网日期，不代表论文的发表时间）