The asset-liability management system effectively avoids and controls market risks, scientifically and rationally evaluates operating performance, strategically and prospectively guides business contraction and expansion, and establishes a correct business philosophy by establishing a modern management method and tool set that adapts to the needs of market development, takes the internal funds transfer pricing system and the paid allocation of economic capital as tools, and takes various market risk management such as interest rates, liquidity, and exchange rates as the core.
The asset-liability management system provides financial institutions with a complete set of balance sheet management and analysis tools. Various financial models can be created and simulated with known and predicted balance sheet data. By analyzing the impact of various simulated financial environments, banks can correctly understand their own asset-liability structure, predict the composition structure and risk exposure of the bank's balance sheet in the future, achieve the expected balance sheet management goals, and realize the scientific, standardized and automated asset-liability management through the use of various scientific forecasting, regulation methods and means. Promote the realization of the grand goal of maximizing bank value.
1) Bank book interest rate risk management is an important part of asset-liability management, which is to find a suitable tool and method to assess the losses that banks may face due to interest rate fluctuations. Limit management is a very important part of interest rate risk management, and plays a warning role in the safe operation of banks. The limit indicator system of interest rate risk covers the regulatory limit indicators of interest rate risk, the practice of interest rate risk limit system by peers, and proposes practical suggestions based on regulatory requirements and advanced experience at home and abroad. Scenario analysis is an important part of interest rate risk measurement for banks, especially large banks. The interest rate risk management of bank books aims to meet regulatory requirements and management requirements, and to reach the level of domestic advanced peers, and provide better solutions for domestic banking and other financial institutions.
2) Liquidity risk management is also an important part of asset-liability management. In May 2018, the China Banking Regulatory Commission issued the "Regulations on Liquidity Risk Management of Commercial Banks", which pointed out that the liquidity risk management system includes risk governance structure; risk strategies, policies and procedures; risk identification, measurement, monitoring and control; information system. Liquidity risk can come from external, market-wide reasons, or from internal, bank-specific reasons. External factors usually include macro factors, seasonal factors, and market factors. Internal liquidity factors generally include structural factors and other risk transformations. The limit indicators of liquidity risk ensure that banks can monitor their liquidity risk at any time, identify liquidity situations that exceed warning or alert values early, and take timely measures to prevent the expansion of risks and losses to banks. The complete scenario design ensures that banks can fully understand the liquidity risk levels they face in various future market situations.
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