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论文类型： 会议论文

发表时间： 2017-07-23

发表刊物： 2017 International Conference on Business and Information Management, ICBIM 2017

收录刊物： EI、Scopus

卷号： Part F131932

页面范围： 1-5

摘要： Assets and liabilities management (ALM) is aimed to control the risk by matching assets and liabilities.Interest rate risk is one of the main risks faced by banks. This paper builds an assets and liabilities management optimal model based on Expected Shortfall aimed to control interest rate risk. Firstly, this paper sets up a positive or negative duration gap to increase the net value of banks when interest rate fluctuates favourably, this offsets the shortcoming which could not increase the net value in the immunity model of zero duration gap. Secondly, this paper establishes the constraint based on Expected Shortfall (ES) model to control the average extreme loss created by prepared duration gap under a limit when interest rate fluctuates unfavourably, this offsets the shortcoming of the existing research based on VaR which could not control the all extreme loss over VaR. ? 2017 Association for Computing Machinery.