Integrated Asset and Liability Portfolio Modeling for Commercial Banks

摘要

Asset and liability management is crucial to the ongoing viability of any banking organization. Formation of integrated assets and liabilities portfolio and its management possibilities are investigated in this work as a complex expression. The paper is devoted for systemic analysis of decision-making principles when altogether with mean-variance portfolio scheme the idea of adequate for stochastic nature of investment efficiency portfolio is used. Asset and liability management model proposed by the author can reduce the probability of serious problems. Indeed, the importance of asset and liability management transcends the individual bank, since a liquidity shortfall at a single institution can have system-wide repercussions. For this reason, the analysis of asset and liability requires bank management not only to measure the liquidity position of the bank on an ongoing basis but also to examine how funding requirements are likely to evolve under various scenarios, including adverse conditions.rnThe author has focused on developing a greater understanding of the way in which banks can manage their assets and liabilities using a broad potential of integrated asset and liability portfolio. As instrument for the solution of the assessed problem the integrated total commercial bank asset and liability structure formation and management when useful occurrence of integrated structure and every outcome is followed with some guarantee to occur was chosen. An example is shown as an illustration for ideas analyzed.rnThe formality and sophistication of the process used to manage asset and liability depends on the size and sophistication of the bank, as well as the nature and complexity of its activities. The principles focused in the paper have broad applicability to all banks. In particular, good management information systems, analysis of net funding requirements under alternative scenarios, diversification of funding sources, and contingency planning are crucial elements of strong liquidity management at a bank of any size or scope of operations.