Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications

doi:10.1007/s12204-012-1237-5

Abstract

Abstract: Abstract: Asset-liability management is the core business of commercial banks. Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields. According to the operational characteristics of commercial banks, this paper addresses a segmented dynamic optimization model under the perspective of the regulatory environment for China commercial banks. The model can perform segmented sliding optimization and correct control variables to make optimal decision with the changes in situations for a certain future time.

Key words: commercial banks| asset| liability| optimization| model

摘要： Abstract: Asset-liability management is the core business of commercial banks. Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields. According to the operational characteristics of commercial banks, this paper addresses a segmented dynamic optimization model under the perspective of the regulatory environment for China commercial banks. The model can perform segmented sliding optimization and correct control variables to make optimal decision with the changes in situations for a certain future time.

关键词: commercial banks| asset| liability| optimization| model

CLC Number:

F830.33

YANG Wen-ze (杨文泽), XU Xiao-ming (许晓鸣), CAI Yun-ze (蔡云泽). Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications[J]. Journal of shanghai Jiaotong University (Science), 2012, 17(1): 114-120.

References

[1] Smith A. The wealth of nations [M]. Dai Guang-nian (trans.). Wuhan: The Wuhan
Press, 2010 (in Chinese).

[2] Moulton H G. Commercial banking and capital formation. I [J]. Journal of Political Economy, 1918,
26(5): 484-508.

[3] Prochnow H V. Bank liquidity and the new doctrine of anticipated
income [J]. The Journal of Finance, 1949, 4(4):
298-314.

[4] Koch T W. Bank management [M]. Research office of Agricultural Bank of China (trans.). Beijing: China Financial
Publishing House, 1991: 122-197 (in Chinese).

[5] Sheedy E, Trevor R, Wood J. Asset allocation decisions when
risk is changing [J]. Journal of Financial Research, 1999,
22(3): 301-315.

[6] Shing C, Nagasawa H. Interactive decision system in stochastic
multiobjective portfolio selection [J]. International Journal
of Production Economics, 1999, 60-61: 187-193.

[7] Schael T, Zeller B. Workflow management systems for financial
services [C]// Proceedings of the Conference on Cooperative
Office Computing Systems (COOCS'93). Hayward, CA: [s.n], 1993:
142-153.

[8] Gjerde O, Semmen K. Risk-based capital requirements and bank
portfolio risk [J]. Journal of Banking &
Finance, 1995, 19(7): 1159-1173.

[9] Koren M, Szeidl A. Portfolio choice with illiquid assets
[R]. Cambrideg, MA: Department of Economics, Harvard University,
2002.

[10] Zhuang Xin-tian, Huang Xiao-yuan. Two-stage model for bank asset
management and its optimization [J]. Journal of Northeastern
University: Natural Science, 2001, 22(6): 627-630 (in
Chinese).

[11] Matz L, Neu P. Liquidity risk measurement and management
[M]. Beijing: China Financial Publishing House, 2010: 151-302 (in
Chinese).

[12] Basel Committee on Banking Superrision. The new Basel capital accord
[EB/OL]. (2011-03-01). http://www.bis.org/publ/bcbsca03.pdf.

[1]	BAO Lewen (鲍乐雯), MIAO Rui, ∗ (苗瑞), CHEN Zhihua (陈志华), ZHANG Bo (张博), GUO Peng (郭鹏), MA Yuze (马宇泽). Travel Intention of Electric Vehicle Sharing based on Theory of Multiple Motivations [J]. J Shanghai Jiaotong Univ Sci, 2023, 28(1): 1-9.
[2]	HUANG Yinggang1 (黄迎港), LUO Wenguang1∗ (罗文广), HUANG Dan2 (黄丹), LAN Hongli1 (蓝红莉). Cascade Optimization Control of Unmanned Vehicle Path Tracking under Harsh Driving Conditions [J]. J Shanghai Jiaotong Univ Sci, 2023, 28(1): 114-125.
[3]	XIAO Pengfei, NI He, JIN Jiashan. Sequential Prediction Method of Single Parameter for Thermal System Based on MWSA [J]. Journal of Shanghai Jiao Tong University, 2023, 57(1): 36-44.
[4]	BAI Qingsong, WU Yang, HOU Li. Atomization Characteristics Analysis and Structure Optimization of an Aviation Fuel Nozzle [J]. Journal of Shanghai Jiao Tong University, 2023, 57(1): 84-92.
[5]	CHEN Junyu, TIAN Ling. Ship Block State Identification and Transfer Monitoring Based on Time-Site Data of Blocks [J]. Journal of Shanghai Jiao Tong University, 2023, 57(1): 24-35.
[6]	WANG Hong, QI Yankun, HE Yong, YANG Guojun. Multi-Stage Opportunistic Maintenance Decision-Making for Electric Multiple Unit Systems with Bi-Objective Optimization [J]. Journal of Shanghai Jiao Tong University, 2022, 56(9): 1276-1284.
[7]	FU Yang, DING Zhiyin, MI Yang. Frequency Control Strategy for Interconnected Power Systems with Time Delay Considering Optimal Energy Storage Regulation [J]. Journal of Shanghai Jiao Tong University, 2022, 56(9): 1128-1138.
[8]	WANG Zhiwei, HE Yanping, LI Mingzhi, QIU Ming, HUANG Chao, LIU Yadong. Numerical Simulation and Flow Pattern Evolution of Gas-Liquid Two-Phase Flow Passing Through a 90° Pipe Bend Based on CFD [J]. Journal of Shanghai Jiao Tong University, 2022, 56(9): 1159-1167.
[9]	WANG Yanlin, GUO Qi, SUN Shanshan, WEI Sihao, XU Ning. Discrete Element Simulation and Analysis of Ice-Inclined Structure Interaction [J]. Journal of Shanghai Jiao Tong University, 2022, 56(9): 1168-1175.
[10]	ZHAO Hong, XIE Youjun, LONG Guangcheng, LI Ning, ZHANG Jiawei, CHENG Zhiqing. Mechanical Characteristics and Stress and Strain Analysis of Concrete with Bonding Interface Under Impact Load [J]. Journal of Shanghai Jiao Tong University, 2022, 56(9): 1208-1217.
[11]	NIU Zhenyu, LIU Linya, QIN Jialiang, ZUO Zhiyuan. Effect of Dynamic Properties of Temperature and Frequency-Dependent Properties of Damping Layer on Vibration Characteristics of Ballastless Track [J]. Journal of Shanghai Jiao Tong University, 2022, 56(9): 1238-1246.
[12]	HUANG Yuhao, HAN Chao, ZHAO Minghui, DU Qiankun, WANG Shigang. Multi-Objective Optimization Strategy of Trajectory Planning for Unmanned Aerial Vehicles Considering Constraints of Safe Flight Corridors [J]. Journal of Shanghai Jiao Tong University, 2022, 56(8): 1024-1033.
[13]	LI Dechang, YANG Hualong, DUAN Jingru. A Joint Optimization of Vessel Scheduling and Refueling Strategy for Container Liner Shipping with Cooperative Agreements [J]. Journal of Shanghai Jiao Tong University, 2022, 56(7): 953-964.
[14]	YAN Qing, LU Jiansha, JIANG Weiguang, SHAO Yiping, TANG Hongtao, LI Yingde. Path Optimization of Stacker in Compact Storage System with Dual-Port Layout [J]. Journal of Shanghai Jiao Tong University, 2022, 56(7): 858-867.
[15]	LIU Jinhao, YAN Yuanzhong, ZHANG Qi, BIAN Rong, HE Lei, YE Guanlin. Centrifugal Test and Numerical Analysis of Impact of Surface Surcharge on Existing Tunnels [J]. Journal of Shanghai Jiao Tong University, 2022, 56(7): 886-896.