Asset and liability management method, device, equipment and medium

Abstract

The invention relates to the technical field of bank data management, in particular to an asset and liability management method and device, equipment and a medium. The method comprises the steps of receiving a risk analysis request of a service; the risk analysis request comprises a service identifier and service information of the service; the risk analysis comprises exchange rate risk analysis, mobility risk analysis and interest rate risk analysis; determining a product and product information corresponding to the business according to the business information and a preset product information table; determining affirmation information corresponding to the business based on the business information, the product information and a preset affirmation information table; performing risk analysis according to the business information, the affirmation information and a preset liability management information set, and determining a risk level of the business; determining the risk level of the product according to the risk level of the business and the historical risk level of the product; the liability management information set comprises data information corresponding to bank asset liability management.

Description

Technical Field

[0001] The present application relates to the technical field of bank data management, and in particular to an asset-liability management method, apparatus, equipment, and medium. Background Art

[0002] In order to achieve higher regulatory requirements from multiple aspects such as governance system, policy procedures, regulatory indicators, and measurement methods, it is necessary to strengthen the management of liquidity risk, bank book interest rate risk, and exchange rate risk, while reasonably matching the scale and maturity structure of asset-liability business to seek the optimal configuration between regulatory compliance and profitability.

[0003] The current approach essentially involves first acquiring business data from a data warehouse and then manually calculating it using Excel to analyze liquidity risk, interest rate risk, and exchange rate risk. However, this approach suffers from low accuracy, reliability, and scientific nature, and is unable to effectively address these risks. Summary of the Invention

[0004] The embodiments of the present application provide an asset-liability management method, apparatus, equipment, and medium for strengthening the management of liquidity risk, bank book interest rate risk, and exchange rate risk, while reasonably matching the scale and maturity structure of asset-liability business to seek the optimal configuration between regulatory compliance and profitability.

[0005] In a first aspect, an embodiment of the present application provides an asset-liability management method, the method comprising:

[0006] Receiving a risk analysis request for a business; the risk analysis request includes a business identifier and business information of the business; the risk analysis includes an exchange rate risk analysis, a liquidity risk analysis, and an interest rate risk analysis;

[0007] Determine the product and product information corresponding to the business based on the business information and a preset product information table; determine the certification information corresponding to the business based on the business information, the product information and a preset certification information table;

[0008] A risk analysis is performed based on the business information, the identification information and the preset liability management information set to determine the risk level of the business; the risk level of the product is determined based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset-liability management.

[0009] In a possible implementation, the preset liability management information set includes an exchange rate risk management information subset, a liquidity risk management information subset, and an interest rate risk management information subset;

[0010] The performing risk analysis based on the business information, the identification information, and a preset liability management information set to determine the risk level of the business includes:

[0011] performing an exchange rate risk analysis based on the business information, the identification information, and the exchange rate risk management information subset to determine the exchange rate risk level of the business;

[0012] performing a liquidity risk analysis based on the business information, the identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business;

[0013] performing interest rate risk analysis based on the business information, the identification information, and the interest rate risk management information subset to determine the interest rate risk level of the business;

[0014] The risk level of the business is determined according to the exchange rate risk level, the liquidity risk level, the interest rate risk level and a first preset weight.

[0015] In a possible implementation, the exchange rate risk management information subset includes a currency exchange rate risk foreign exchange exposure information table and a business exchange rate risk foreign exchange exposure information table;

[0016] The performing of exchange rate risk analysis based on the business information, the identification information, and the exchange rate risk management information subset to determine the exchange rate risk level of the business includes:

[0017] An exchange rate risk analysis is performed based on the business information, the identification information, the currency exchange rate risk foreign exchange exposure information table, and the business exchange rate risk foreign exchange exposure information table to determine the exchange rate risk level of the business.

[0018] In a possible implementation, the liquidity risk management information subset includes a liquidity risk preference and limit management information table, a liquidity risk indicator information table, and a management report and statement liquidity risk warning information table;

[0019] The performing of liquidity risk analysis based on the business information, the identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business includes:

[0020] Conduct a liquidity risk analysis based on the business information, the identification information, the liquidity risk preference and limit management information table, the liquidity risk indicator information table, and the management report and statement liquidity risk warning information table to determine the liquidity risk level of the business.

[0021] In a possible implementation, the interest rate risk management information subset includes an interest rate risk preference and limit management information table, an interest rate index information table, and an interest rate risk stress test information table;

[0022] The performing of interest rate risk analysis based on the business information, the identification information, and the interest rate risk management information subset to determine the interest rate risk level of the business includes:

[0023] An interest rate risk analysis is performed based on the business information, the identification information, the interest rate risk preference and limit management information table, the interest rate index information table, and the interest rate risk stress test information table to determine the interest rate risk level of the business.

[0024] In a possible implementation, determining the risk level of the product according to the risk level of the business and the historical risk level of the product includes:

[0025] The risk level of the product is determined according to the risk level of the business, the historical risk level of the product and a second preset weight.

[0026] In one possible implementation, the method further includes:

[0027] receiving a credit risk analysis request from a user, wherein the credit risk analysis request includes a user identifier of the user;

[0028] Determine all services corresponding to the user and the risk level of each service based on the user identifier and a preset service information table;

[0029] The credit risk level of the user is determined according to the risk levels of all businesses corresponding to the user and a third preset weight.

[0030] In a second aspect, an embodiment of the present application provides an asset-liability management device, the device comprising:

[0031] An acquisition module is configured to receive a risk analysis request for a business; the risk analysis request includes a business identifier and business information of the business; and the risk analysis includes an exchange rate risk analysis, a liquidity risk analysis, and an interest rate risk analysis;

[0032] An information confirmation module is used to determine the product and product information corresponding to the business based on the business information and a preset product information table; and to determine the certification information corresponding to the business based on the business information, the product information and a preset certification information table;

[0033] The risk analysis module is used to perform risk analysis based on the business information, the identification information and the preset liability management information set to determine the risk level of the business; determine the risk level of the product based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset-liability management.

[0034] In a possible implementation, the preset liability management information set includes an exchange rate risk management information subset, a liquidity risk management information subset, and an interest rate risk management information subset; and the risk analysis module is specifically configured to:

[0035] performing an exchange rate risk analysis based on the business information, the identification information, and the exchange rate risk management information subset to determine the exchange rate risk level of the business;

[0036] performing a liquidity risk analysis based on the business information, the identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business;

[0037] performing interest rate risk analysis based on the business information, the identification information, and the interest rate risk management information subset to determine the interest rate risk level of the business;

[0038] The risk level of the business is determined according to the exchange rate risk level, the liquidity risk level, the interest rate risk level and a first preset weight.

[0039] In one possible implementation, the exchange rate risk management information subset includes a currency exchange rate risk foreign exchange exposure information table and a business exchange rate risk foreign exchange exposure information table; and the risk analysis module is specifically configured to:

[0040] An exchange rate risk analysis is performed based on the business information, the identification information, the currency exchange rate risk foreign exchange exposure information table, and the business exchange rate risk foreign exchange exposure information table to determine the exchange rate risk level of the business.

[0041] In one possible implementation, the liquidity risk management information subset includes a liquidity risk preference and limit management information table, a liquidity risk indicator information table, and a management report and statement liquidity risk warning information table; the risk analysis module is specifically configured to:

[0042] Conduct a liquidity risk analysis based on the business information, the identification information, the liquidity risk preference and limit management information table, the liquidity risk indicator information table, and the management report and statement liquidity risk warning information table to determine the liquidity risk level of the business.

[0043] In one possible implementation, the interest rate risk management information subset includes an interest rate risk preference and limit management information table, an interest rate index information table, and an interest rate risk stress test information table; the risk analysis module is specifically configured to:

[0044] An interest rate risk analysis is performed based on the business information, the identification information, the interest rate risk preference and limit management information table, the interest rate index information table, and the interest rate risk stress test information table to determine the interest rate risk level of the business.

[0045] In a possible implementation, the risk analysis module is specifically configured to:

[0046] The risk level of the product is determined according to the risk level of the business, the historical risk level of the product and a second preset weight.

[0047] In a possible implementation, the risk analysis module is further configured to:

[0048] receiving a credit risk analysis request from a user, wherein the credit risk analysis request includes a user identifier of the user;

[0049] Determine all services corresponding to the user and the risk level of each service based on the user identifier and a preset service information table;

[0050] The credit risk level of the user is determined according to the risk levels of all businesses corresponding to the user and a third preset weight.

[0051] In a third aspect, an embodiment of the present application provides an electronic device comprising a memory, a processor, and a computer program stored in the memory and executable on the processor, wherein the processor executes the asset-liability management method of the first aspect when executing the computer program.

[0052] In a fourth aspect, an embodiment of the present application provides a computer-readable storage medium, wherein the computer-readable storage medium stores a computer program, and the computer program is used to enable the computer to execute the asset-liability management method in the above-mentioned first aspect.

[0053] In a fifth aspect, an embodiment of the present application provides a computer program product, which, when called by a computer, enables the computer to execute the asset-liability management method in the first aspect above.

[0054] The technical solutions provided by the embodiments of the present application bring at least the following beneficial effects:

[0055] In an embodiment of the present application, a risk analysis request for a business is received; the risk analysis request includes a business identifier and business information of the business; the risk analysis includes exchange rate risk analysis, liquidity risk analysis, and interest rate risk analysis; the product and product information corresponding to the business are determined based on the business information and a preset product information table; the identification information corresponding to the business is determined based on the business information, product information, and a preset identification information table; a risk analysis is performed based on the business information, identification information, and a preset liability management information set to determine the risk level of the business; the risk level of the product is determined based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset-liability management.

[0056] Therefore, by pre-designing multiple information tables related to liability management and updating the data in the information tables at any time according to market changes, the data in multiple information tables are used to conduct exchange rate risk analysis, liquidity risk analysis and interest rate risk analysis on businesses and products, thereby strengthening the management of liquidity risk, bank book interest rate risk and exchange rate risk, allowing banks to reasonably match the scale and maturity structure of assets and liabilities, and generate the optimal configuration between regulatory compliance and profitability.

[0057] The technical effects brought about by any implementation method in the second to fifth aspects can refer to the technical effects brought about by the corresponding implementation method in the first aspect, and will not be repeated here. BRIEF DESCRIPTION OF THE DRAWINGS

[0058] Figure 1 A schematic diagram of an application scenario of an asset-liability management method provided in an embodiment of the present application;

[0059] Figure 2 A flowchart of an asset-liability management method provided in an embodiment of the present application;

[0060] Figure 3 A flowchart of a method for determining a risk level of a service provided in an embodiment of the present application;

[0061] Figure 4 A schematic diagram of the structure of an asset-liability management system provided in an embodiment of the present application;

[0062] Figure 5 A schematic diagram of the structure of an asset-liability management device provided in an embodiment of the present application;

[0063] Figure 6 A schematic diagram of the structure of an electronic device provided in an embodiment of the present application. DETAILED DESCRIPTION

[0064] In order to make the purpose, technical solutions and advantages of the present application clearer, the technical solutions in the embodiments of the present application will be clearly and completely described below in conjunction with the drawings in the embodiments of the present application. Obviously, the described embodiments are only part of the embodiments of the present application, rather than all of the embodiments. Based on the embodiments in the present application, all other embodiments obtained by ordinary technicians in this field without making creative work are within the scope of protection of this application. Unless there is a conflict, the embodiments in the present application and the features in the embodiments can be combined with each other in any way. In addition, although a logical order is shown in the flowchart, in some cases, the steps shown or described can be performed in an order different from that here.

[0065] The terms "first" and "second" in the specification and claims of this application and the above-mentioned drawings are used to distinguish different objects, rather than to describe a specific order. In addition, the term "comprising" and any of its variations are intended to cover non-exclusive protection. For example, a process, method, system, product or device that includes a series of steps or units is not limited to the listed steps or units, but optionally also includes steps or units that are not listed, or optionally also includes other steps or units inherent to these processes, methods, products or devices. "Multiple" in this application can mean at least two, for example, two, three or more, and the embodiments of this application are not limited thereto.

[0066] The following description of exemplary embodiments of the present application is made in conjunction with the accompanying drawings, which include various details of the embodiments of the present application to facilitate understanding, and they should be considered as merely exemplary. Therefore, those of ordinary skill in the art should recognize that various changes and modifications can be made to the embodiments described herein without departing from the scope disclosed in this application. Similarly, for the sake of clarity and conciseness, the description of well-known functions and structures is omitted in the following description. It should be noted that in the embodiments of the present application, certain software, components, models and other existing solutions in the industry may be mentioned, which should be considered as exemplary, and their purpose is only to illustrate the feasibility of the implementation of the technical solution of the present application, but it does not mean that the applicant has or will necessarily use the solution.

[0067] In the technical solution of this application, the acquisition, transmission, storage, and use of data comply with the requirements of relevant national laws and regulations.

[0068] Before introducing the asset-liability management method provided in the embodiment of the present application, in order to facilitate understanding, several risks involved in the embodiment of the present application are first introduced in detail below.

[0069] Interest rate risk: Fluctuations in market interest rates can affect the value of a bank's assets and liabilities, leading to fluctuations in net interest income.

[0070] Liquidity risk: Banks need to ensure that they have sufficient funds to meet customers' withdrawal and loan needs in different market environments.

[0071] Exchange rate risk: Foreign debt must ultimately be repaid by converting local currency into foreign currency or using foreign exchange earned from exporting products. Therefore, fluctuations in exchange rates may result in losses for economic entities holding or using foreign exchange.

[0072] Credit risk: In asset-liability management, the credit risk of different customers needs to be assessed and managed.

[0073] Next, the technical background of the embodiments of the present application is introduced in detail.

[0074] In order to achieve higher regulatory requirements from multiple aspects such as governance system, policy procedures, regulatory indicators, and measurement methods, it is necessary to strengthen the management of liquidity risk, bank book interest rate risk, and exchange rate risk, while reasonably matching the scale and maturity structure of asset-liability business to seek the optimal configuration between regulatory compliance and profitability.

[0075] The current approach essentially involves first acquiring business data from a data warehouse and then manually calculating it using Excel to analyze liquidity risk, interest rate risk, and exchange rate risk. However, this approach suffers from low accuracy, reliability, and scientific nature, and is unable to effectively address these risks.

[0076] In view of this, the embodiments of the present application provide an asset-liability management method and system for strengthening the management of liquidity risk, bank book interest rate risk and exchange rate risk, while reasonably matching the asset-liability business scale and maturity structure, and seeking the optimal configuration between regulatory compliance and profitability.

[0077] The inventive concept of the present application can be summarized as follows: by pre-designing multiple information tables related to liability management, and updating the data in the information tables at any time according to market changes, the data in the multiple information tables are used to conduct exchange rate risk analysis, liquidity risk analysis and interest rate risk analysis on businesses and products, thereby strengthening the management of liquidity risk, bank book interest rate risk and exchange rate risk, so that banks can reasonably match the scale and maturity structure of assets and liabilities, and generate the optimal configuration between regulatory compliance and profitability.

[0078] After introducing the inventive concept of this application, Figure 1 , the application scenarios of the embodiments of the present application are introduced.

[0079] Reference Figure 1 , is a schematic diagram of an application scenario of an asset-liability management method provided in an embodiment of the present application. Figure 1As shown, the scenario includes: a terminal device 110 and a server 120, and the terminal device 110 and the server 120 can communicate with each other through a communication network.

[0080] In an optional embodiment, the communication network can be a wired network or a wireless network. Therefore, the terminal device 110 and the server 120 can be directly or indirectly connected via wired or wireless communication. For example, the terminal device 110 can be indirectly connected to the server 120 via a wireless access point, or the terminal device 110 can be directly connected to the server 120 via the Internet, which is not limited in this application.

[0081] In the embodiment of the present application, the terminal device 110 includes but is not limited to mobile phones, tablet computers, laptop computers, desktop computers, intelligent voice interaction devices and other devices.

[0082] The server 120 is a backend server corresponding to the terminal device 110. The server 120 can be an independent physical server, a server cluster or a distributed system composed of multiple physical servers, or a cloud server that provides basic cloud computing services such as cloud services, cloud databases, cloud computing, cloud functions, cloud storage, network services, cloud communications, middleware services, domain name services, security services, content delivery networks (CDNs), and big data and artificial intelligence platforms.

[0083] It should be noted that the asset-liability management method in the embodiment of the present application can be deployed in an electronic device, which can be a server or a terminal device.

[0084] The server can be Figure 1 The server 120 shown in FIG. 1 may also be Figure 1 The terminal device may be other servers other than the server 120 shown in FIG. Figure 1 The terminal device 110 shown in FIG. 1 may also be Figure 1 Other terminal devices other than the terminal device 110 shown in FIG.

[0085] Figure 1 The figure is only an example. In fact, the number of terminal devices 110 and servers 120 is not limited and is not specifically limited in the embodiments of the present application.

[0086] Based on the above application scenarios, the asset-liability management method provided by the exemplary embodiment of the present application is described below in combination with the application scenarios described above according to the accompanying drawings. It should be noted that the above application scenarios are only shown to facilitate understanding of the spirit and principles of the present application, and the implementation methods of the present application are not subject to any restrictions in this regard.

[0087] refer to Figure 2 , Figure 2 An asset-liability management method is provided as an example in an embodiment of the present application. The method can be executed by an electronic device and includes the following steps:

[0088] Step S201: receiving a risk analysis request for a business; the risk analysis request includes a business identifier and business information of the business.

[0089] Among them, risk analysis includes exchange rate risk analysis, liquidity risk analysis and interest rate risk analysis.

[0090] In specific implementations, in response to a user clicking the risk analysis button on the asset-liability management interface, a risk analysis request for a business is received. The risk analysis request includes the business ID and business information of the business. The business information can be obtained from a preset business information table based on the business ID.

[0091] As the bank grows, it generates a certain amount of business data. Therefore, this application designs a business information table to store all business data. The data in the business information table can be obtained from three sources: the data warehouse, external data, and staff input. As the bank grows, the business data in the business information table will be continuously updated and increased.

[0092] The business information table includes information such as business account number (business ID), institution number, business type, currency, start date, expiration date, term, account number, balance, execution rate, interest income and expenditure, customer number (ID), interest calculation method, contract amount, product, and line, as well as data samples of each information, as shown in Table 1 below.

[0093] Table 1

[0094]

[0095]

[0096] Step S202: Determine the product and product information corresponding to the business based on the business information and the preset product information table; determine the certification information corresponding to the business based on the business information, product information and the preset certification information table.

[0097] During asset-liability management, various interest rate and liquidity management processes influence the management of business products. Therefore, this application has designed a product information table to store various bank products and their information. Different banks may have different product information, so the product information table is designed based on the specific needs of each bank. For example, product names may include short-term loans, long-term loans, personal online loans, forwarding loans, loans, and deposits, and these can be increased or decreased based on actual circumstances.

[0098] The product information table includes product information such as product code (identification), product name, product level, and parent product, as well as data samples of each information, as shown in Table 2 below.

[0099] Table 2

[0100] Table name Detail field properties Data Sample Product Information Sheet Product Code 1001001 Product Information Sheet Product Name Short-term loans Product Information Sheet Product Level 2 Product Information Sheet superior products 1001000

[0101] During the indicator analysis process, it is necessary to manage the scope of business indicators. Therefore, this application has designed a recognition information table to link various businesses and products within the bank and define the product production process. Different banks may have different business indicator scopes, so the recognition information table is designed based on the actual needs of each bank.

[0102] The identification information table includes product and business identification information, such as business level 1, business level 2, business level 3, business level 4, scope information, interest rate type, repayment method, currency, RMB benchmark interest rate, foreign currency benchmark interest rate, repricing frequency, early repayment right, etc. The specific data sample is shown in Table 3 below.

[0103] Table 3

[0104]

[0105]

[0106] Step S203, conduct risk analysis based on business information, identification information and the preset liability management information set to determine the risk level of the business; determine the risk level of the product based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset-liability management.

[0107] In one possible implementation, the liability management information set preset in this application includes an exchange rate risk management information subset, a liquidity risk management information subset, and an interest rate risk management information subset. Therefore, based on the business information, identification information, and the preset liability management information set, risk analysis is performed to determine the risk level of the business, which can be performed as follows: Figure 3 Steps shown:

[0108] Step S301 : performing exchange rate risk analysis based on business information, identification information, and a subset of exchange rate risk management information to determine the exchange rate risk level of the business.

[0109] Among them, the exchange rate risk management information subset in this application includes the currency exchange rate risk foreign exchange exposure information table and the business exchange rate risk foreign exchange exposure information table. Therefore, an exchange rate risk analysis is performed based on the business information, identification information and the exchange rate risk management information subset to determine the exchange rate risk level of the business. The specific implementation is: based on the business information, identification information, the currency exchange rate risk foreign exchange exposure information table and the business exchange rate risk foreign exchange exposure information table, an exchange rate risk analysis is performed to determine the exchange rate risk level of the business.

[0110] The Currency Exchange Rate Risk and Foreign Exchange Exposure Information Sheet plays a significant role in risk measurement, management decision-making, regulatory compliance, and performance evaluation. For example, it can accurately calculate the potential risk exposure a bank faces due to exchange rate fluctuations. Banks can promptly update the data in the information sheet based on real-time market exchange rate fluctuations, enabling dynamic monitoring of exchange rate risk. This helps banks optimize the currency structure of their assets and liabilities. Banks can use the information sheet to analyze the risk exposure of assets and liabilities in different currencies, rationally adjust the asset-liability allocation ratio, and reduce the impact of exchange rate fluctuations on the bank's net interest income and economic value. Regulators require banks to effectively manage and disclose exchange rate risk, and the Currency Exchange Rate Risk and Foreign Exchange Exposure Information Sheet is an important basis for banks to report risk information to regulators.

[0111] The data in the Currency Exchange Rate Risk Foreign Exchange Exposure Information Table is adjusted based on international exchange rate information for various currencies. This table includes information such as currency, spot position, forward position, option position, other derivative instrument position, total position, exchange rate, foreign exchange exposure, risk weight, risk-weighted assets, and data samples, as shown in Table 4 below.

[0112] Table 4

[0113] Table name Detail field properties Data Sample Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Currency Dollar Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Spot position 1000000 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table forward position -500000 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Option positions 200000 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Other derivative positions 0 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Total Position 700000 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table exchange rate 6.5 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Foreign exchange exposure 4550000 Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Risk Weight 8％ Currency Exchange Rate Risk Foreign Exchange Exposure Information Table Risk-weighted assets 364000

[0114] The foreign exchange exposure information table for business exchange rate risk is also a key tool for banks to manage exchange rate risk. It allows for timely data adjustments based on the specific circumstances of the bank's foreign exchange operations. The table includes information such as business items, foreign currency amounts, local currency amounts, exchange rates, foreign exchange exposure, and data samples, as shown in Table 5 below.

[0115] Table 5

[0116] Table name Detail field properties Remark Business Exchange Rate Risk Foreign Exchange Exposure Information Table Business Projects Foreign exchange deposits Business Exchange Rate Risk Foreign Exchange Exposure Information Table Foreign currency amount $1 million Business Exchange Rate Risk Foreign Exchange Exposure Information Table Amount in local currency 6.5 million RMB Business Exchange Rate Risk Foreign Exchange Exposure Information Table exchange rate 6.5 Business Exchange Rate Risk Foreign Exchange Exposure Information Table Foreign exchange exposure 0

[0117] Foreign exchange items include, but are not limited to, foreign exchange deposits, foreign exchange loans, foreign exchange bond investments, and derivative contracts (forward foreign exchange contracts). Each bank's foreign exchange business may vary. Therefore, a foreign exchange exposure information table for business exchange rate risk can be designed based on each bank's foreign exchange business.

[0118] Therefore, based on the information in the recognition information table, the currency exchange rate risk foreign exchange exposure information table and the business exchange rate risk foreign exchange exposure information table, the exchange rate risk analysis of each business can be conducted according to the analysis methods specified by each bank to obtain the exchange rate risk level of the business.

[0119] Step S302 : performing liquidity risk analysis based on the business information, identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business.

[0120] Among them, the liquidity risk management information subset in this application includes the liquidity risk preference and limit management information table, the liquidity risk indicator information table, and the management report and statement liquidity risk warning information table. Therefore, liquidity risk analysis is conducted based on business information, identification information and the liquidity risk management information subset to determine the liquidity risk level of the business. The specific implementation is: liquidity risk analysis is conducted based on business information, identification information, liquidity risk preference and limit management information table, liquidity risk indicator information table, and management report and statement liquidity risk warning information table to determine the liquidity risk level of the business.

[0121] Among them, liquidity risk can be presented in the form of specific numerical values ​​and indicators through the liquidity risk preference and limit management information table, such as liquidity coverage ratio, net stable funding ratio, etc., so that banks and other financial institutions can accurately understand their current liquidity risk level and intuitively judge the degree of capital shortage risk they may face under different market conditions.

[0122] The liquidity risk appetite and limit management information table can be designed based on each bank's program items and the detailed indicators for each item. Each bank's liquidity risk appetite and limit management information table may differ. The liquidity risk appetite and limit management information table includes program items and detailed indicators for each item, as shown in Table 6 below (the detailed indicators in the table are for example only).

[0123] Table 6

[0124]

[0125]

[0126] Among them, the liquidity risk indicator information table is an important tool for measuring the liquidity risk status of financial institutions. It mainly includes regulatory indicators and internal management indicators. It can be designed according to the regulatory indicators and internal management indicators of each bank. The liquidity risk indicator information table of each bank may be different.

[0127] The liquidity risk indicator information table includes information such as indicator number, indicator name, indicator scope, business meaning, etc., as shown in Table 7 below (the data in the table are only examples).

[0128] Table 7

[0129]

[0130] Management reports and financial statements' liquidity risk warning information tables play a variety of important roles, including risk monitoring and identification (real-time monitoring, early warning), decision support (resource allocation, financing, and investment decisions), risk management, and information communication and disclosure. These tables can be designed based on the warning thresholds corresponding to each bank's regulatory and internal management indicators, and may differ from bank to bank.

[0131] The liquidity risk warning information table of management reports and statements includes information such as indicator number, indicator name, warning threshold, current value, and whether a warning has been issued, as shown in Table 8 below (the data in the table is only an example).

[0132] Table 8

[0133] Indicator number Indicator name Warning threshold Current value Is there an early warning? 1000001 Liquidity Coverage Ratio (LCR) Less than 120% 1000002 Net Stable Funding Ratio (NSFR) Less than 110% 1000003 Liquidity ratio Less than 30% 1000004 Loan-to-deposit ratio More than 80% 1000005 Cash Position Indicator Less than 5% 1000006 Core deposit ratio Less than 40% 1000007 Current asset turnover 80% lower than the industry average 1000008 Financing gap More than 10% of total assets

[0134] Therefore, according to the information in the identification information table, liquidity risk preference and limit management information table, liquidity risk indicator information table, management report and statement liquidity risk warning information table, the liquidity risk analysis of each business can be carried out according to the analysis methods specified by each bank to obtain the liquidity risk level of the business.

[0135] Step S303: performing interest rate risk analysis based on the business information, identification information, and interest rate risk management information subset to determine the interest rate risk level of the business.

[0136] Among them, the interest rate risk management information subset in this application includes the interest rate risk preference and limit management information table, the interest rate index information table, and the interest rate risk stress test information table. Therefore, interest rate risk analysis is performed based on business information, identification information and the interest rate risk management information subset to determine the interest rate risk level of the business. The specific implementation is: interest rate risk analysis is performed based on business information, identification information, the interest rate risk preference and limit management information table, the interest rate index information table, and the interest rate risk stress test information table to determine the interest rate risk level of the business.

[0137] Among them, the interest rate risk can be presented in the form of specific numerical values ​​and indicators through the interest rate risk preference and limit management information table, which can help banks accurately control interest rate risks, clarify risk orientation, quantify risk control, ensure financial stability, optimize resource allocation, and meet regulatory requirements.

[0138] The interest rate risk appetite and limit management information table can be designed based on each bank's indicator categories, detailed risk descriptions for each indicator category, and limit settings. Each bank's interest rate risk appetite and limit management information table may differ. The interest rate risk appetite and limit management information table includes information such as indicator categories, specific indicators, detailed risk descriptions, limit settings, and monitoring frequency, as shown in Table 9 below (the detailed risk descriptions and limit settings in the table are for example only).

[0139] Table 9

[0140]

[0141] The interest rate indicator information table covers multiple key aspects, including risk quantification, decision support, and risk control. It can be designed based on the indicator definitions and calculation methods of each bank, and each bank's interest rate indicator information table may differ.

[0142] The interest rate indicator information table includes information such as indicator category, specific indicators, indicator definition, calculation method, and impact on interest rate risk, as shown in Table 10 below (the data in the table are only examples).

[0143] Table 10

[0144]

[0145]

[0146] The interest rate risk stress test information sheet plays a crucial role in bank operations and risk management. This model can simulate different interest rate stress scenarios and provide a comprehensive and quantitative assessment of the interest rate risk faced by banks.

[0147] By calculating the change in the interest rate sensitivity gap over one month, three months, and one year, as well as indicators such as the change in net interest income and the change in economic value, the stress test clearly demonstrates a bank's risk exposure to various extreme interest rate fluctuations, helping banks accurately understand their risk profile. Based on the stress test results, banks can develop contingency plans to address interest rate risk in advance.

[0148] For example, when net interest income drops sharply under severe stress scenarios, banks can formulate measures such as increasing low-cost funding sources and adjusting asset-liability structures to enhance their survivability and risk resistance in extreme interest rate environments.

[0149] The interest rate risk stress test information sheet can be designed based on the stress test results of each bank and may vary from bank to bank. The interest rate risk stress test information sheet includes information such as stress scenario settings, specific indicators, and stress test results, as shown in Table 11 below (the data in the table is for illustrative purposes only).

[0150] Table 11

[0151]

[0152]

[0153] Therefore, based on the information in the recognition information table, interest rate risk preference and limit management information table, interest rate index information table, and interest rate risk stress test information table, interest rate risk analysis can be conducted on each business according to the analysis methods specified by each bank to obtain the interest rate risk level of the business.

[0154] Step S304: determining the risk level of the business according to the exchange rate risk level, the liquidity risk level, the interest rate risk level, and the first preset weight.

[0155] When banks conduct asset-liability management, they need to assess the risk level of each business, taking into account factors such as exchange rate risk, liquidity risk, and interest rate risk. However, the importance of each factor in risk assessment varies, so this application has designed a first preset weight. The specific proportion of each factor in the first preset weight is set based on the bank's actual situation or according to market regulations.

[0156] Therefore, based on the currency exchange rate risk foreign exchange exposure information table and the business exchange rate risk foreign exchange exposure information table, the liquidity risk preference and limit management information table, the liquidity risk indicator information table, the management report and statement liquidity risk warning information table, the interest rate risk preference and limit management information table, the interest rate indicator information table, and the interest rate risk stress test information table, the exchange rate risk, liquidity risk, and interest rate risk of the business can be analyzed in accordance with the management methods proposed by my country to obtain the risk level of the business.

[0157] In a possible implementation, the risk level of the product is determined based on the risk level of the business and the historical risk level of the product, and the implementation is: determining the risk level of the product based on the risk level of the business, the historical risk level of the product and the second preset weight.

[0158] When banks conduct asset-liability management, they also need to assess the risk level of each product, taking into account the risk level of all businesses corresponding to the product. Each time a business is added, the risk level of the original assessment needs to be recalculated, that is, considering both the historical risk level and the risk level of the current business. However, the importance of these two factors in the product risk level assessment varies. Therefore, this application has designed a second preset weight. The specific ratio of the two factors in the second preset weight is set according to the actual situation of the bank or the ratio specified by the market.

[0159] In this application, the exchange rate risk level of the product can also be determined based on the exchange rate risk level of the business, the historical exchange rate risk level of the product, and the second preset weight; the liquidity risk level of the product can be determined based on the liquidity risk level of the business, the historical liquidity risk level of the product, and the second preset weight; and the interest rate risk level of the product can be determined based on the interest rate risk level of the business, the historical interest rate risk level of the product, and the second preset weight.

[0160] From this, we can obtain the product's risk level as well as the exchange rate risk level, liquidity risk level, interest rate risk level, etc.

[0161] In one possible implementation, this application can also analyze and manage customer credit risk. It integrates customer credit information, establishes a credit risk assessment model, and rates credit risk for assets such as loans, providing a basis for asset allocation and risk management. Specifically, it can be implemented as follows:

[0162] Receive a credit risk analysis request from a user; the credit risk analysis request includes a user identifier of the user; determine all businesses corresponding to the user and the risk level of each business based on the user identifier and a preset business information table; determine the credit risk level of the user based on the risk levels of all businesses corresponding to the user and a third preset weight.

[0163] The proportion of each business in the third preset weight is set according to the actual situation of the bank or the proportion stipulated by the market.

[0164] In order to facilitate the understanding of the asset-liability management method provided by this application, this application also designs an asset-liability management system, such as Figure 4 The asset-liability management method is applied in the asset-liability management system. The asset-liability management system includes the data source layer, risk analysis layer, system layer, and presentation layer.

[0165] Among them, the data source layer includes data warehouse, external data and staff supplementary recording; the data in the business information table can be obtained from three sources: data warehouse, external data and staff supplementary recording.

[0166] The risk analysis layer is divided into the buffer layer, integration layer, application layer, and reporting layer. The buffer layer and integration layer are used to process and integrate business data from the data source layer and store it in business information tables. The application layer analyzes the risk levels of businesses and products based on the measurement engine. Pre-set business information tables, pre-set product information tables, pre-set recognition information tables, and pre-set liability management information sets are all stored in the application layer. The reporting layer uses various formats, such as report scope tables, report fact tables, sample tables, and dimension tables, to present risk analysis reports on businesses, products, and customer credit risk analysis reports.

[0167] The system layer is divided into the task scheduling system, the asset-liability management system, and the report development system. Developers develop these three systems at the system layer.

[0168] The presentation layer is divided into a report display interface, an asset-liability management interface, and a task scheduling interface. Users can manage assets and liabilities by calling the report development system through the report display interface, the asset-liability management system through the asset-liability management interface, and the task scheduling system through the task scheduling interface.

[0169] Therefore, by pre-designing multiple information tables related to liability management and updating the data in the information tables at any time according to market changes, the data in multiple information tables are used to conduct exchange rate risk analysis, liquidity risk analysis and interest rate risk analysis on businesses and products, thereby strengthening the management of liquidity risk, bank book interest rate risk and exchange rate risk, allowing banks to reasonably match the scale and maturity structure of assets and liabilities, and generate the optimal configuration between regulatory compliance and profitability.

[0170] Based on the same inventive concept, the embodiment of the present application provides an asset-liability management device, please refer to Figure 5 , the device comprises:

[0171] Acquisition module 501, configured to receive a risk analysis request for a business; the risk analysis request includes a business identifier and business information of the business; the risk analysis includes exchange rate risk analysis, liquidity risk analysis, and interest rate risk analysis;

[0172] The information confirmation module 502 is used to determine the product and product information corresponding to the business based on the business information and a preset product information table; and to determine the certification information corresponding to the business based on the business information, the product information and a preset certification information table;

[0173] The risk analysis module 503 is used to perform risk analysis based on the business information, the identification information and the preset liability management information set to determine the risk level of the business; determine the risk level of the product based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset and liability management

[0174] In a possible implementation, the preset liability management information set includes an exchange rate risk management information subset, a liquidity risk management information subset, and an interest rate risk management information subset; the risk analysis module 503 is specifically configured to:

[0175] performing an exchange rate risk analysis based on the business information, the identification information, and the exchange rate risk management information subset to determine the exchange rate risk level of the business;

[0176] performing a liquidity risk analysis based on the business information, the identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business;

[0177] performing interest rate risk analysis based on the business information, the identification information, and the interest rate risk management information subset to determine the interest rate risk level of the business;

[0178] The risk level of the business is determined according to the exchange rate risk level, the liquidity risk level, the interest rate risk level and a first preset weight.

[0179] In a possible implementation, the exchange rate risk management information subset includes a currency exchange rate risk foreign exchange exposure information table and a business exchange rate risk foreign exchange exposure information table; the risk analysis module 503 is specifically configured to:

[0180] An exchange rate risk analysis is performed based on the business information, the identification information, the currency exchange rate risk foreign exchange exposure information table, and the business exchange rate risk foreign exchange exposure information table to determine the exchange rate risk level of the business.

[0181] In one possible implementation, the liquidity risk management information subset includes a liquidity risk preference and limit management information table, a liquidity risk indicator information table, and a management report and statement liquidity risk warning information table; the risk analysis module 503 is specifically configured to:

[0182] Conduct a liquidity risk analysis based on the business information, the identification information, the liquidity risk preference and limit management information table, the liquidity risk indicator information table, and the management report and statement liquidity risk warning information table to determine the liquidity risk level of the business.

[0183] In one possible implementation, the interest rate risk management information subset includes an interest rate risk preference and limit management information table, an interest rate index information table, and an interest rate risk stress test information table; the risk analysis module is specifically configured to:

[0184] An interest rate risk analysis is performed based on the business information, the identification information, the interest rate risk preference and limit management information table, the interest rate index information table, and the interest rate risk stress test information table to determine the interest rate risk level of the business.

[0185] In a possible implementation, the risk analysis module 503 is specifically configured to:

[0186] The risk level of the product is determined according to the risk level of the business, the historical risk level of the product and a second preset weight.

[0187] In a possible implementation, the risk analysis module 503 is further configured to:

[0188] receiving a credit risk analysis request from a user, wherein the credit risk analysis request includes a user identifier of the user;

[0189] Determine all services corresponding to the user and the risk level of each service based on the user identifier and a preset service information table;

[0190] The credit risk level of the user is determined according to the risk levels of all businesses corresponding to the user and a third preset weight.

[0191] The asset-liability management device provided in the embodiment of the present application and the asset-liability management method in the above embodiment have the same beneficial effects, and will not be described one by one here.

[0192] After introducing the asset-liability management method and asset-liability management device according to the exemplary embodiments of the present application, the electronic device provided according to the embodiment of the present application is introduced next.

[0193] The embodiment of the present application provides an electronic device that can implement the asset-liability management method discussed above. Figure 6 , the device includes a memory 601, a processor 602 and a bus 603.

[0194] Memory 601 is used to store computer programs executed by processor 602. Memory 601 may mainly include a program storage area and a data storage area. The program storage area may store an operating system and programs required for running instant messaging functions, while the data storage area may store various instant messaging messages and operating instruction sets.

[0195] Memory 601 may be a volatile memory, such as random-access memory (RAM); a non-volatile memory, such as read-only memory, flash memory, a hard disk drive (HDD), or a solid-state drive (SSD); or any other medium capable of carrying or storing desired program code in the form of instructions or data structures and accessible by a computer, but is not limited thereto. Memory 601 may be a combination of the above memories.

[0196] The processor 602 may include one or more central processing units (CPUs) or digital processing units, etc. The processor 602 is configured to implement the asset-liability management method in the above embodiment when calling the computer program stored in the memory 601 .

[0197] The specific connection medium between the memory 601 and the processor 602 is not limited in the embodiment of the present application. Figure 6 In the embodiment, the memory 601 and the processor 602 are connected via a bus 603. The bus 603 is connected to the processor 602 via a bus 603. Figure 6 The connections between the other components are shown in bold lines, which are only for illustration and are not intended to be limiting. The bus 603 can be divided into an address bus, a data bus, a control bus, etc. For ease of illustration, Figure 6 Only one thick line is used in the diagram, but this does not mean that there is only one bus or one type of bus.

[0198] Based on the same inventive concept, embodiments of the present application provide a computer-readable storage medium, a computer program product comprising: computer program code. When the computer program code is executed on a computer, it causes the computer to execute any of the asset-liability management methods discussed above. Because the principles underlying the problems solved by the computer-readable storage medium are similar to those of the asset-liability management method, the implementation of the computer-readable storage medium can be referred to as the implementation of the method, and any repetitions will be omitted.

[0199] Based on the same inventive concept, embodiments of the present application further provide a computer program product comprising computer program code. When executed on a computer, the computer program code causes the computer to perform any of the asset-liability management methods discussed above. Because the principles underlying the problems solved by the computer program product are similar to those of the asset-liability management method, the implementation of the computer program product can be referenced to the implementation of the method, and any repetitions will not be repeated.

[0200] It will be understood by those skilled in the art that the embodiments of the present application may be provided as methods, systems, or computer program products. Therefore, the present application may take the form of a complete hardware embodiment, a complete software embodiment, or an embodiment combining software and hardware. Furthermore, the present application may take the form of a computer program product implemented on one or more computer-usable storage media (including but not limited to magnetic disk storage, CD-ROM, optical storage, etc.) containing computer-usable program code.

[0201] The present application is described with reference to the flowcharts and / or block diagrams of the methods, devices (systems), and computer program products according to the present application. It should be understood that each process and / or block in the flowchart and / or block diagram, as well as the combination of processes and / or blocks in the flowchart and / or block diagram, can be implemented by computer program instructions. These computer program instructions can be provided to a processor of a general-purpose computer, a special-purpose computer, an embedded processor, or other programmable data processing device to produce a machine, so that the instructions executed by the processor of the computer or other programmable data processing device generate instructions for implementing the processes in the flowchart and / or block diagram. Figure 1 a process or multiple processes and / or boxes Figure 1 A device that provides the functions specified in a block or multiple blocks.

[0202] These computer program instructions may also be stored in a computer readable memory that can direct a computer or other programmable data processing device to work in a specific manner, so that the instructions stored in the computer readable memory produce an article of manufacture comprising an instruction device, which implements the process Figure 1 a process or multiple processes and / or boxes Figure 1 The function specified in one or more boxes.

[0203] These computer program instructions can also be loaded onto a computer or other programmable data processing device so that a series of user-operated steps are executed on the computer or other programmable device to produce a computer-implemented process, thereby providing instructions for executing on the computer or other programmable device to implement the process. Figure 1 a process or multiple processes and / or boxes Figure 1 A step that specifies a function in one or more boxes.

[0204] Obviously, those skilled in the art may make various changes and modifications to this application without departing from the spirit and scope of this application. Thus, if these modifications and variations of this application fall within the scope of the claims of this application and their equivalents, this application is intended to include these modifications and variations.

Claims

1. An asset-liability management method, characterized in that: The method comprises: Receiving a risk analysis request for a business; the risk analysis request includes a business identifier and business information of the business; the risk analysis includes an exchange rate risk analysis, a liquidity risk analysis, and an interest rate risk analysis; Determine the product and product information corresponding to the business based on the business information and a preset product information table; determine the certification information corresponding to the business based on the business information, the product information and a preset certification information table; A risk analysis is performed based on the business information, the identification information and the preset liability management information set to determine the risk level of the business; the risk level of the product is determined based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset-liability management.

2. The method according to claim 1, characterized in that The preset liability management information set includes an exchange rate risk management information subset, a liquidity risk management information subset, and an interest rate risk management information subset; The performing risk analysis based on the business information, the identification information, and a preset liability management information set to determine the risk level of the business includes: performing an exchange rate risk analysis based on the business information, the identification information, and the exchange rate risk management information subset to determine the exchange rate risk level of the business; performing a liquidity risk analysis based on the business information, the identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business; performing interest rate risk analysis based on the business information, the identification information, and the interest rate risk management information subset to determine the interest rate risk level of the business; The risk level of the business is determined according to the exchange rate risk level, the liquidity risk level, the interest rate risk level and a first preset weight.

3. The method according to claim 2, characterized in that The exchange rate risk management information subset includes a currency exchange rate risk foreign exchange exposure information table and a business exchange rate risk foreign exchange exposure information table; The performing of exchange rate risk analysis based on the business information, the identification information, and the exchange rate risk management information subset to determine the exchange rate risk level of the business includes: An exchange rate risk analysis is performed based on the business information, the identification information, the currency exchange rate risk foreign exchange exposure information table, and the business exchange rate risk foreign exchange exposure information table to determine the exchange rate risk level of the business.

4. The method according to claim 2, characterized in that The liquidity risk management information subset includes the liquidity risk preference and limit management information table, the liquidity risk indicator information table, and the management report and statement liquidity risk warning information table; The performing of liquidity risk analysis based on the business information, the identification information, and the liquidity risk management information subset to determine the liquidity risk level of the business includes: Conduct a liquidity risk analysis based on the business information, the identification information, the liquidity risk preference and limit management information table, the liquidity risk indicator information table, and the management report and statement liquidity risk warning information table to determine the liquidity risk level of the business.

5. The method according to claim 2, characterized in that The interest rate risk management information subset includes an interest rate risk preference and limit management information table, an interest rate index information table, and an interest rate risk stress test information table; The performing of interest rate risk analysis based on the business information, the identification information, and the interest rate risk management information subset to determine the interest rate risk level of the business includes: An interest rate risk analysis is performed based on the business information, the identification information, the interest rate risk preference and limit management information table, the interest rate index information table, and the interest rate risk stress test information table to determine the interest rate risk level of the business.

6. The method according to claim 1, characterized in that Determining the risk level of the product based on the risk level of the business and the historical risk level of the product includes: The risk level of the product is determined according to the risk level of the business, the historical risk level of the product and a second preset weight.

7. The method according to any one of claims 1 to 6, characterized in that: The method further comprises: receiving a credit risk analysis request from a user, wherein the credit risk analysis request includes a user identifier of the user; Determine all services corresponding to the user and the risk level of each service based on the user identifier and a preset service information table; The credit risk level of the user is determined according to the risk levels of all businesses corresponding to the user and a third preset weight.

8. An asset-liability management device, characterized in that: The device comprises: An acquisition module is configured to receive a risk analysis request for a business; the risk analysis request includes a business identifier and business information of the business; and the risk analysis includes an exchange rate risk analysis, a liquidity risk analysis, and an interest rate risk analysis; An information confirmation module is used to determine the product and product information corresponding to the business based on the business information and a preset product information table; and to determine the certification information corresponding to the business based on the business information, the product information and a preset certification information table; The risk analysis module is used to perform risk analysis based on the business information, the identification information and the preset liability management information set to determine the risk level of the business; determine the risk level of the product based on the risk level of the business and the historical risk level of the product; the liability management information set includes data information corresponding to the bank's asset-liability management.

9. An electronic device comprising a memory, a processor, and a computer program stored in the memory and executable by the processor, wherein: When the processor executes the computer program, the asset-liability management method according to any one of claims 1 to 7 is implemented.

10. A computer-readable storage medium, characterized in that The computer-readable storage medium stores a computer program, and the computer program is used to enable the computer to execute the asset-liability management method according to any one of claims 1 to 7.

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