Research on Intelligent Management of Interest Rate Risk in Chinese State-Owned Commercial Banks from the Perspective of Duration — An Asset-Liability Duration Allocation Model Based on Particle Swarm Optimization
Journal: Modern Economics & Management Forum DOI: 10.32629/memf.v7i1.4871
Abstract
Under the background of interest rate liberalization and dynamic adjustment of LPR, the interest rate risk exposure of large state-owned banks has increased significantly. Based on the balance sheets of six banks from 2022 to 2024 and the yield of government bonds, a duration-convexity system is created to consider the benchmark duration gap and EVE sensitivity. The duration is set as a multi-objective improvement problem with constraints such as capital adequacy ratio, liquidity coverage ratio, and duration bucket limit, and PSO is used to solve it. The results are then compared with GA, SA, and LP. Empirical results show that PSO can preserve ROE and reduce the duration gap from about 1.4 years to about 0.5 years, significantly reduce EVE volatility, and improve the trade-off between risk, return, and duration. The robustness of the framework is verified, providing an engineering reference for the intelligent optimization of asset and liability management systems.
Keywords
duration; interest rate risk; particle swarm optimization; asset and liability management; state-owned commercial banks
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