A Dynamic ALM Model for Chinese Commercial Bank
Asset and Liability Management (ALM) plays an important role as a risk management tool in Chinese commercial banks after China joined WTO. It is an integrated technique on the management of a banks balance sheet. In managing its assets and liabilities, a bank is confronted with many government restrictions and market volatilities. This paper describes a model using dynamic stochastic programming framework. Scenario tree of random asset returns, cash flows and discounted rate is generated as the input of the stochastic model. The programming is solved from three different perspectives and assessment indices indicating the value of information and the value of stochastic model are calculated. An illustrative research of China Minsheng Bank is performed. Results indicate that ALM generates superior decisions.
Dynamic stochastic programming Scenario generation Asset and liability management Chinese commercial bank
GUO Yin REN Ruoen
School of Economics and Management, Beihang University, Beijing, China, 100191
国际会议
大连
英文
123-128
2011-06-30（万方平台首次上网日期，不代表论文的发表时间）