Optimization of commercial bank's value based on random duration

摘要

Bank's net cash flow and income approach was chosen to analyze the optimization of commercial bank's value on the study of the nature of commercial bank's value, enterprise value theories and evaluation approaches, bank's interest rate risks and their assessment methods. Financial instrument's random duration based on continuous time was defined. Furthermore, the random duration method was applied to manage bank's interest rate risks. The relationship between bank's net assets value and interest rate was proved as well as the optimized path of bank's value was obtained according to the duration gap. Namely, the best equilibrium state was achieved by means of balancing the relations among cash flow, risk and sustainable operation. In the end, the limitations of the job and more valuable subjects in future was discussed.