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The Bank Assets Allocation under Strategies of Liquidity Risk Management

Author: YangXiaoYu
Tutor: LiangYan
School: Dalian University of Technology
Course: Analysis and management of economic systems
Keywords: Commercial bank Liquidity Risk Management Asset Allocation
CLC: F830.3
Type: Master's thesis
Year: 2009
Downloads: 368
Quote: 0
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Abstract


2007 U.S. subprime mortgage crisis triggered by the financial crisis sweeping the world so far, not only affect the countries of the Economic and Trade, hit more of the banking system. The crisis so that people a profound understanding: the bank's security has not a single capital adequacy ratio to measure to cover up the nature of the risk, based on the static balance sheet management, and improve the rationality of asset allocation, maintaining appropriate liquidity is the commercial banks of the long-term, healthy development of the key. The paper first analyzes the research background and significance, the overview of relevant literature, research ideas, technical route and expected innovation. Second, liquidity risk and asset allocation concept based on the defined commercial banks, the formation mechanism of the systematic analysis of banks 'liquidity risk, the synthesis of banks' liquidity risk management, asset liquidity management, liabilities, liquidity management and balanced liquidity management kinds of strategies and methods to determine the liquidity risk management strategy under the DD model within the framework of analysis bank asset allocation problem in a bank run. Again, scholars Franck and Krausz (2007) built the bank asset allocation model based on the use of nonlinear optimization methods, to build a bank asset allocation models under three liquidity risk management strategy and asset allocation results derivation, in-depth analysis when banks face liquidity risk (depositors early withdrawal) and taking into account the profit-maximizing liquidity risk management strategy of asset allocation and solvency of banks, the objective function improved linear programming method in the past to build asset allocation models single and ignore the behavior of depositors, liquidity risk management strategy and analysis only from the qualitative point of view, added to the quantitative analysis of the model. The research results show that the case related to the interest rate and the parameters satisfy certain conditions, the three liquidity risk management strategy can improve the asset allocation and maximum solvency of banks, so the banks to meet the liquidity needs of the case, may hold more less cash, holders of bonds and loans, thus increasing the profits of the bank. Then, through data simulation constructed various features and advantages of the model; selected eight commercial banks in China as a sample, an empirical test of building three asset allocation models, the results show that the bank asset allocation under the balance liquidity management strategy applicability of the model of the commercial banks in China is better, and the prevalence of Chinese commercial bank assets \Finally, a summary of the thesis results, and make relevant policy recommendations.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial organizations, banks
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