Justification of the scientific and methodological approaches for optimal design portfolio of banks’ assets and liabilities

Alexander Litvinyuk
PhD in Economics, lecturer of Banking Department, Odessa National Economic University, E-mail:AVLitvinyuk@gmail.com

Cite this article:

Litvinyuk, А. (2016), Justification of the scientific and methodological approaches for optimal design portfolio of banks’ assets and liabilities. Ed.: M. Zveryakov (ed.-in-ch.) and others [Obhruntuvannia naukovo-metodychnykh pidkhodiv do modeliuvannia optymalnoi struktury portfeliv aktyviv ta pasyviv bankiv; za red. M. I. Zveriakova (gol.red.) ta in.], Socio-economic research bulletin; Vìsnik socìal’no-ekonomìčnih doslìdžen’ (ISSN 2313-4569), Odessa National Economic University, Odessa, No. 2 (61), рр. 203–212.

Abstract

The article substantiates the scientific and methodological approaches to modeling the optimal portfolio structure of assets and liabilities based management strategies. The proposed in the article scientific and methodological approaches to the modeling, as opposed to the existing ones, include an indicator of dynamics of interest rate, and restrictions system is built according to the strategy management of assets and liabilities of the bank. It is proved that the inclusion of selected indicators during the optimization modeling allows to increase the accuracy of the forecast of financial targets, and ensures the achievement the optimal structure of portfolios of assets and liabilities of the bank based on the set strategic goals and tasks. The practical usage of the developed scientific and methodological approaches to modeling the optimal structure of the portfolios of assets and liabilities of banks will contribute to achieving the planned level of net interest margin as the target indicator of tactical level asset and liability management of banks.

Keywords

strategy; control; model; optimization; operations; dynamics; еfficiency; profit; risk.

JEL classification: G130; C310;  DOI: https://doi.org/10.33987/vsed.2(61).2016.203-212

UD classification: 336.764.061:336.71

References

1. Balandin, B. M. (2002), Information and analytical provision of management of bank’s assets and liabilities [Informatsionno-analiticheskoe obespechenie upravleniya aktivami i passivami banka], Money and credit, Moscow, No. 10, pp. 40–42.
2. Belyakov, A. V. (2003), Banking risks: problems of audit, management and regulation [Bankovskie riski: problemy ucheta, upravleniya i regulirovaniya], BDTS-Press, Moscow, 256 p.
3. Zherdetska, L. V. (2015), Assessment of profitability of the banks’ interest assets in Ukraine in the conditions of systemic risk [Otsinka struktury dokhidnosti protsentnykh aktyviv bankiv Ukrainy v umovakh vplyvu systemnykh ryzykiv], Scientific Bulletin of Kherson State University, Economics series, Kherson, No. 15 (1), pp. 126–130.
4. Kulakov, A. E. (2004), Management of assets and liabilities of the bank [Upravlenie aktivami i passivami banka], BDTS-Press, Moscow, 256 p.
5. Kuznetsova, L. V. (2009), Theoretical and methodological principles of financial activity of the bank: monograph [Teoretyko-metodolohichni zasady finansovoi diialnosti banku: monografiia], Atlant, Odessa, 324 р.
6. Maslenchenkov, Yu. S., Dubankov, A. P. (2002), Economy of the bank. Development of the management of financial activity of the bank [Ekonomika banka. Razrabotka po upravleniyu finansovoy deyatelnostyu banka], BDTS-Press, Moscow, 168 p.
7. Nelson, C., Siegel, A. (1987), Parsimonious of Yield Curves, The Journal of Business, vol. 60, No. 4, рp. 473–489.
8. Romanenko, V. D., Reutov, O. A. (2011), Modeling and optimal management of remnants on the current accounts of bank customers [Modeliuvannia ta optymalne upravlinnia zalyshkamy na potochnykh rakhunkakh klientiv banku], Economic and mathematical modeling of socio-economic systems NAS and MES of Ukraine, Kyiv, issue 16, pp. 378–398.
9. Rubtsova, O. O., Rudyanova, T. N. (2014), Resource management of the banking institution through the optimization of balance sheet structure [Upravlenie resursami bankovskogo uchrezhdeniya putem optimizatsii struktury balansa], Business Inform, Moscow, No. 5, pp. 140–145.
10. Larionova, I. V. (2000), Methods of risk management of the credit institution and the ways of their limitations [Metody upravleniya riskami kreditnoy organizatsii i sposoby ikh ogranicheniya], Business and banks, Moscow, No. 40, pp. 1–3.
11. Official website of the National Bank of Ukraine [Ofitsiynyi sait Natsionalnoho banku Ukrainy], available at: http://www.bank.gov.ua/control/uk/publish/article?art_id=36807.
12. Litvinyuk, O. V. (2016) Scientific and methodological approaches to the system formation of asset and liability management of banks in modern conditions of global imbalances [Naukovo-metodolohichni pidkhody do formuvannia systemy upravlinnia aktyvamy ta pasyvamy bankiv u suchasnykh umovakh hlobalnykh dysbalansiv], Global and national economic problems, Mykolaiv, No. 10, pp. 829–834.
13. Litvinyuk, O. V. (2015), The forming system management of asset and liability of banks: dissertation [Formuvannia systemy upravlinnia aktyvamy i pasyvamy bankiv: dis. … kand. ekon. nauk], Odessa, 345 p.