Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities
Abstract
There is the statement, the formalized mathematical model of the numerical method for solving the dynamic two-level problem of formation and the management of the credit portfolio of commercial bank as part of the cumulative bank portfolio at consecutive time intervals. To the structure of criteria of optimum control of a portfolio along with the profitability and risk is also proposed to include the liquidity of temporary structure of assets and liability which allows to improve the financial stability of the bank in terms of possible «gaps» of liquidity associated with the excess of liabilities over assets in certain time intervals. Model of the first level includes monitoring, assess the quality of the loan portfolio and calculation of available funds of the bank for subsequent placement in loans. The second level model is the choice of parameters of credit and loan applications for the next time interval.
About the Authors
M. A. Gadzhiagayev
JSB Trade City Bank
Russian Federation
Russian Federation
M. A. Halikov
Plekhanov Russian University of Economics
Russian Federation
Russian Federation
References
1. Батракова Л.Г. Экономический анализ деятельности коммерческого банка. - М.: «Логос», 2005.
2. Закревская Е.А. Подходы и методы оценки стоимости компании в условиях рыночной экономики // Ученые записки Российской академии предпринимательства. - 2009. - № 17. - С. 168-177.
3. Инструкция ЦБ РФ «Об обязательных нормативах банков» № 110-И ( от 16.01.2004).
4. Максимов Д.А., Халиков М.А. Методы оценки и стратегии обеспечения экономической безопасности предприятия. - М.: ЗАО « Гриф и К», 2012. - 219 с.
5. Мину М. Математическое программирование. Теория и алгоритмы. - М.: Наука, 1990.
6. Положение ЦБ РФ «О правилах ведения бухгалтерского учета в кредитных организациях, расположенных на территории Российской Федерации» № 205-П (от 05.12.2002).
7. Роуз Питер С. Банковский менеджмент. - М.: Дело, 1997.
8. Черемных О.С. Процессно-стоимостной подход к управлению коммерческим банком // Банковское дело. - 2003 - № 7.
9. Klin M. Theory of the banking firm. J.Money. Credit and banking. 1971, May.
10. Pyle D.H. On the theory of financial intermediation. J. Finance. 1971, June.
11. Sealey C.W. Valuation, capital structure, and shareholder unanimity for depository financial intermediates. J. Finance. 1983, June.
12. Sealey C.W. Finance theory and financial intermediation: proc.of the conference on bank structure and competition. Federal reserve bank of Chicago, 1987.
Review
For citations:
Gadzhiagayev M.A., Halikov M.A. Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities. Entrepreneur’s Guide. 2016;(29):72-85. (In Russ.)
Views:
291
Email this article 