We formulate the optimal balance sheet management problem as a linear program and study it using a duality approach. In addition to helping determine the optimal balance sheet, the dual problem also provides us the interest rate risk and credit risk pricing.

We deploy our methodology to determine premia on credit risk and interest rate risk for commercial banks, which allows us to manage the risk allocation for a bank given a risk budget.

Moreover, our approach will be of interest to regulators, who can use it to assess the price of credit and interest rate risk at each point in the economic cycle.

Finally, we apply this methodology to real data and show how it can be used in a real-world setting, using diversification constraints and a greedy algorithm that results in the optimal asset-liability allocation.

我们将最优资产负债表管理问题表述为线性规划，并使用对偶方法对其进行研究。除了帮助确定最优资产负债表外，对偶问题还为我们提供了利率风险和信用风险定价。

我们部署我们的方法来确定商业银行的信用风险和利率风险溢价，这使我们能够在给定风险预算的情况下管理银行的风险分配。

此外，我们的方法将引起监管机构的兴趣，他们可以使用它来评估经济周期每个点的信贷价格和利率风险。

最后，我们将这种方法应用于真实数据，并展示如何在现实环境中使用它，使用多样化约束和贪婪算法来实现最佳资产负债配置。