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• W2383629042 abstract "Asset liability management is an effective method to maximize asset portfolio profits by coordinating internal relationships between capital source and capital use at an acceptable risk level.A bank's net worth or shareholder equity changes constantly because the values of asset and liability change with interest rates.Risk control of interest rates is important because interest rate risks are an kernel aspect in asset liability management. Assets liabilities management optimal model is set up through VaR risk control constrained with interest rate changes,and profit maximization of asset portfolio.Preparation duration gap offers an opportunity to increase a bank's net worth at floating interest rates moving in favorable directions.Preparation duration gap can help control changes to a bank's net worth through VaR constraints of risk limitation when market interest rates change in unfavorable directions.We make sure that a bank's capital losses do not exceed net interest profits at certain confidence levels.A bank's interest rate risk is controlled at an acceptable tolerance level. In Section I,we introduce the advantages and disadvantages of interest rate risk management based on the current literature.A bank's assets portfolio can increase the bank net worth through preparation duration gap when the market interest rate changes in favorable directions.A bank's assets portfolio meets the requirement risk limitation.Through the preparation duration gap,asset portfolio can increase a bank's net worth at floating interest rates when market interest rates change in favorable directions.Through the preparation duration gap,a control bank's assets portfolio can meet risk limitation requirements at certain confidence levels when market interest rates change in unfavorable direction.In Section 2,we propose a model to optimize asset and liability management based on the preparation duration gap.The model uses an objective function of interest income maximum and risk constrains of positive and negative preparation gap.In Section 3,we discuss data application,modeling process,optimal result,and comparison results.We conclude our paper in Section 4. This paper makes three major contributions.First,we discover that a bank's net worth will increase through the preparation duration gap when interest rate changes in favorable conditions.This is an alternative solution to the findings of the current research that a bank's net value cannot be increased when the duration gap is zero.Second,we use the Value at Risk to build constraints of preparation duration gap.Profit loss caused by interest rate risk can be minimized through the control of maximum loss at certain confidence levels.Optimization of allocation can help control capital loss,protect a bank's owner equity,and develop new ideas of optimal asset optimization.Last,we use interest rates over seven days to estimate the probability distribution of the future market rate fluctuation,and solve problems caused by market rate fluctuation." @default.
• W2383629042 created "2016-06-24" @default.
• W2383629042 creator A5069367439 @default.
• W2383629042 date "2011-01-01" @default.
• W2383629042 modified "2023-09-23" @default.
• W2383629042 title "Asset and Liability Management Optimal Model based on VaR Preparation Duration Gap" @default.
• W2383629042 hasPublicationYear "2011" @default.
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