Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications
Asset-liability management is the core business of commercial banks. Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields. According to the operational characteristics of commercial banks, this paper addresses a segmented dynamic optim...
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Published in | Shanghai jiao tong da xue xue bao Vol. 17; no. 1; pp. 114 - 120 |
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Main Author | |
Format | Journal Article |
Language | English |
Published |
Heidelberg
Shanghai Jiaotong University Press
01.02.2012
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Subjects | |
Online Access | Get full text |
ISSN | 1007-1172 1995-8188 |
DOI | 10.1007/s12204-012-1237-5 |
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Abstract | Asset-liability management is the core business of commercial banks. Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields. According to the operational characteristics of commercial banks, this paper addresses a segmented dynamic optimization model under the perspective of the regulatory environment for China commercial banks. The model can perform segmented sliding optimization and correct control variables to make optimal decision with the changes in situations for a certain future time. |
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AbstractList | Asset-liability management is the core business of commercial banks. Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields. According to the operational characteristics of commercial banks, this paper addresses a segmented dynamic optimization model under the perspective of the regulatory environment for China commercial banks. The model can perform segmented sliding optimization and correct control variables to make optimal decision with the changes in situations for a certain future time. |
Author | 杨文泽 许晓鸣 蔡云泽 |
AuthorAffiliation | Department of Automation, Shanghai Jiaotong University, Shanghai 200240, China |
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DocumentTitleAlternate | Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications |
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Keywords | commercial banks model asset optimization F 830.33 liability |
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Notes | commercial banks, asset, liability, optimization, model 31-1943/U Asset-liability management is the core business of commercial banks. Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields. According to the operational characteristics of commercial banks, this paper addresses a segmented dynamic optimization model under the perspective of the regulatory environment for China commercial banks. The model can perform segmented sliding optimization and correct control variables to make optimal decision with the changes in situations for a certain future time. ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 ObjectType-Article-1 ObjectType-Feature-2 |
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References | GjerdeO.SemmenK.Risk-based capital requirements and bank portfolio risk [J]Journal of Banking & Finance19951971159117310.1016/0378-4266(94)00077-G ProchnowH. V.Bank liquidity and the new doctrine of anticipated income [J]The Journal of Finance19494429831410.2307/2975424 SheedyE.TrevorR.WoodJ.Asset allocation decisions when risk is changing [J]Journal of Financial Research1999223301315 KochT. W.Bank management [M]. Research office of Agricultural Bank of China (trans.)1991BeijingChina Financial Publishing House122197 SmithA.The wealth of nations [M]. Dai Guang-nian (trans.)2010WuhanTheWuhan Press ShingC.NagasawaH.Interactive decision system in stochastic multiobjective portfolio selection [J]International Journal of Production Economics199960-6118719310.1016/S0925-5273(98)00170-4 MoultonH. G.Commercial banking and capital formation. I [J]Journal of Political Economy1918265484508151927410.1086/253104 Basel Committee on Banking Superrision. The new Basel capital accord [EB/OL]. (2011-03-01). http://www.bis.org/publ/bcbsca03.pdf. SchaelT.ZellerB.Workflow management systems for financial services [C]Proceedings of the Conference on Cooperative Office Computing Systems (COOCS’93)1993Hayward, CA[s.n]142153 MatzL.NeuP.Liquidity risk measurement and management [M]2010BeijingChina Financial Publishing House151302 KorenM.SzeidlA.Portfolio choice with illiquid assets [R]2002Cambrideg, MADepartment of Economics, Harvard University ZhuangX.-t.HuangX.-yuan.Two-stage model for bank asset management and its optimization [J]Journal of Northeastern University: Natural Science2001226627630 X.-t. Zhuang (1237_CR10) 2001; 22 L. Matz (1237_CR11) 2010 A. Smith (1237_CR1) 2010 C. Shing (1237_CR6) 1999; 60-61 M. Koren (1237_CR9) 2002 T. Schael (1237_CR7) 1993 H. V. Prochnow (1237_CR3) 1949; 4 O. Gjerde (1237_CR8) 1995; 19 1237_CR12 T. W. Koch (1237_CR4) 1991 H. G. Moulton (1237_CR2) 1918; 26 E. Sheedy (1237_CR5) 1999; 22 |
References_xml | – reference: MoultonH. G.Commercial banking and capital formation. I [J]Journal of Political Economy1918265484508151927410.1086/253104 – reference: ShingC.NagasawaH.Interactive decision system in stochastic multiobjective portfolio selection [J]International Journal of Production Economics199960-6118719310.1016/S0925-5273(98)00170-4 – reference: KorenM.SzeidlA.Portfolio choice with illiquid assets [R]2002Cambrideg, MADepartment of Economics, Harvard University – reference: SmithA.The wealth of nations [M]. Dai Guang-nian (trans.)2010WuhanTheWuhan Press – reference: ProchnowH. V.Bank liquidity and the new doctrine of anticipated income [J]The Journal of Finance19494429831410.2307/2975424 – reference: MatzL.NeuP.Liquidity risk measurement and management [M]2010BeijingChina Financial Publishing House151302 – reference: GjerdeO.SemmenK.Risk-based capital requirements and bank portfolio risk [J]Journal of Banking & Finance19951971159117310.1016/0378-4266(94)00077-G – reference: ZhuangX.-t.HuangX.-yuan.Two-stage model for bank asset management and its optimization [J]Journal of Northeastern University: Natural Science2001226627630 – reference: SchaelT.ZellerB.Workflow management systems for financial services [C]Proceedings of the Conference on Cooperative Office Computing Systems (COOCS’93)1993Hayward, CA[s.n]142153 – reference: KochT. W.Bank management [M]. Research office of Agricultural Bank of China (trans.)1991BeijingChina Financial Publishing House122197 – reference: Basel Committee on Banking Superrision. The new Basel capital accord [EB/OL]. (2011-03-01). http://www.bis.org/publ/bcbsca03.pdf. – reference: SheedyE.TrevorR.WoodJ.Asset allocation decisions when risk is changing [J]Journal of Financial Research1999223301315 – start-page: 122 volume-title: Bank management [M]. Research office of Agricultural Bank of China (trans.) year: 1991 ident: 1237_CR4 – volume: 22 start-page: 627 issue: 6 year: 2001 ident: 1237_CR10 publication-title: Journal of Northeastern University: Natural Science – volume: 26 start-page: 484 issue: 5 year: 1918 ident: 1237_CR2 publication-title: Journal of Political Economy doi: 10.1086/253104 – volume: 22 start-page: 301 issue: 3 year: 1999 ident: 1237_CR5 publication-title: Journal of Financial Research doi: 10.1111/j.1475-6803.1999.tb00729.x – ident: 1237_CR12 – volume: 4 start-page: 298 issue: 4 year: 1949 ident: 1237_CR3 publication-title: The Journal of Finance doi: 10.2307/2975424 – start-page: 142 volume-title: Proceedings of the Conference on Cooperative Office Computing Systems (COOCS’93) year: 1993 ident: 1237_CR7 – volume: 19 start-page: 1159 issue: 7 year: 1995 ident: 1237_CR8 publication-title: Journal of Banking & Finance doi: 10.1016/0378-4266(94)00077-G – volume: 60-61 start-page: 187 year: 1999 ident: 1237_CR6 publication-title: International Journal of Production Economics doi: 10.1016/S0925-5273(98)00170-4 – volume-title: Portfolio choice with illiquid assets [R] year: 2002 ident: 1237_CR9 – volume-title: The wealth of nations [M]. Dai Guang-nian (trans.) year: 2010 ident: 1237_CR1 – start-page: 151 volume-title: Liquidity risk measurement and management [M] year: 2010 ident: 1237_CR11 |
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Title | Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications |
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