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.
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