Bank Asset Liability Management Model Based on Multi-period Stochastic Programming

A multi-period stochastic programming model with simple recourse was developed to study the asset and liability management of banks under uncertainties based on the domestic economic environment. The uncertainties in future asset returns and deposit flows of banks were considered and estimated by using the vector auto-regression method. Furthermore, empirical study on Shanghai Pudong development bank was made and compared to the actual situation of the bank. The results show that strategies achieved by the model can avoid the risks brought by the future uncertainties better, and gain more than the actual situation