Optimization Model of Asset-Liability Portfolio Based on Double Immunization of Interest Rate Risk

• 1、School of Management, Dalian University of Technology

Abstract：This paper puts forward principle of double immunization portfolio optimization and reveals function expression of the relationship between bank’ net value and convexity. The paper sets up optimization model of asset-liability portfolio based on double immunization of interest rate risk by taking duration gap immunization and convexity gap immunization for condition, and loan portfolio’s interest rate risk controlling for aim. The main innovation and characteristic of this paper is that it sets up duration gap immunization condition and convexity gap immunization condition in arrangement decision of loan portfolio at the same time firstly. This ensures the effect that equity rights not to loss when market interest changes. It solves the problem that who the asset-liability management decision model and method is work for and how to control interest rate risk of loan portfolio. It changes the situation that optimizing result is not appropriate causes by considering the effect of convexity to interest rate risk as zero in now’s researches. It determines the equivalent term of non-ascertain term asset according to equivalent term principle secondly. This solves the problem how to determine the duration and convexity of deposit reserve and provision, and it changes the unreasonable condition that it acquiesce the duration of non-ascertain term asset as zero in current research.

Keywords： Asset-Liability management Interest rate risk control Portfolio optimization Duration immunization Convexity immunization