Assets and Liabilities Management Optimal Model Based on VaR Controlled Prepared Duration Gap

摘要

We build an assets-liabilities management optimal model which controls VaR after the change of the interest rate and targets the maximum profit on assets portfolio. One of the contributions is to increase the net value of the bank through prepared duration gap when the interest rate is changing favorably, this is in turn offset the shortcoming of the current research which could not increase the net value when the gap is zero. The second is the prepared gap is controlled by VaR. The loss is controlled under a limit which is the monthly net interest income of the bank, while the interest rate changing adversely, this in turn protects the owner's equity of the bank. We use seven-day's reacquired interest rate data to estimate the frequency distribution of the fluctuation of the future market rate and solved the problem to describe the fluctuation of the interest rate with multi-factors.