Release Time:2019-03-11  Hits:

Indexed by: Conference Paper

Date of Publication: 2009-09-20

Included Journals: Scopus、EI

Abstract: Changes in market interest rates led to the changes of bank's assets and liabilities values, which led to the change of the owner's equity of the bank and bring in risk to the bank owners. As a result, interest rate risk management of commercial banks is extremely important. We built a portfolio optimal model for bank assets and liabilities management by controlling the interest risk, which controls directional duration and directional convexity at the same time. ?2009 IEEE.