Optimization Model of Asset-Liability Portfolio Based on Controlling Liquidity Risk

This paper proposes the principle of time structure symmetry in asset liability management, and establishes assets liability portfolio optimization model based on double liquidity risk control, which uses maximum of loan interest as objective function and time matching of asset liability as constrain. The contributions of this paper lie on two aspects: firstly, it controls the liquidity risk through the time matching of asset and liability, so as to solve the problem of bank run resulting from shortage of liquidity; secondly, it controls the liquidity risk through the quantity matching of asset and liability, so as to ensure the legitimacy and compliance of bank asset´s allocation and avoid liquidity crisis.