Optimal Model of Assets and Liabilities Management Considering Interest Risk and Time Structure Risk

In this paper, the duration gap and immunity conditions are used to control the interest rate risk and protect the equity rights. By using the time structure matching of assets-liabilities to control the time structure risk, the optimal model of assets and liabilities portfolio is established. 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 introduces the interest rate structure symmetry into the optimization of bank assets portfolio.