DocumentCode :
2234735
Title :
Optimal Model of Assets and Liabilities Management Considering Interest Risk and Time Structure Risk
Author :
Yang, Zhongyuan ; Xu, Wen
Author_Institution :
Postdoctoral Workstation, Dalian Bank, Dalian, China
fYear :
2009
fDate :
26-28 Dec. 2009
Firstpage :
4401
Lastpage :
4404
Abstract :
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.
Keywords :
financial management; optimisation; risk management; assets-liabilities management; assets-liabilities portfolio; bank assets portfolio optimization; duration gap; equity rights protection; immunity conditions; interest rate structure symmetry; interest risk; liquidity risk; time structure matching; time structure risk; Asset management; Banking; Conference management; Economic indicators; Electronic mail; Information science; Optimal control; Portfolios; Risk management; Stochastic processes;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Information Science and Engineering (ICISE), 2009 1st International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-4909-5
Type :
conf
DOI :
10.1109/ICISE.2009.806
Filename :
5455614
Link To Document :
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