Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities
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...
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| Format: | Article |
| Language: | Russian |
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Russian Academy of Entrepreneurship
2020-01-01
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| Series: | Путеводитель предпринимателя |
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| Online Access: | https://www.pp-mag.ru/jour/article/view/1263 |
| _version_ | 1826569031023329280 |
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| author | M. A. Gadzhiagayev M. A. Halikov |
| author_facet | M. A. Gadzhiagayev M. A. Halikov |
| author_sort | M. A. Gadzhiagayev |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T03:49:43Z |
| format | Article |
| id | doaj.art-ab8a1e25e741442c9bd074d6c651137f |
| institution | Directory Open Access Journal |
| issn | 2073-9885 2687-136X |
| language | Russian |
| last_indexed | 2025-03-14T11:32:52Z |
| publishDate | 2020-01-01 |
| publisher | Russian Academy of Entrepreneurship |
| record_format | Article |
| series | Путеводитель предпринимателя |
| spelling | doaj.art-ab8a1e25e741442c9bd074d6c651137f2025-03-02T10:02:21ZrusRussian Academy of EntrepreneurshipПутеводитель предпринимателя2073-98852687-136X2020-01-0102972851262Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilitiesM. A. Gadzhiagayev0M. A. Halikov1JSB Trade City BankPlekhanov Russian University of EconomicsThere 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.https://www.pp-mag.ru/jour/article/view/1263commercial bankcredit portfolioprofitability and risk of the loan portfoliotemporary consistency of assets and liabilitiesdynamic model portfolioboolean programming problem |
| spellingShingle | M. A. Gadzhiagayev M. A. Halikov Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities Путеводитель предпринимателя commercial bank credit portfolio profitability and risk of the loan portfolio temporary consistency of assets and liabilities dynamic model portfolio boolean programming problem |
| title | Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities |
| title_full | Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities |
| title_fullStr | Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities |
| title_full_unstemmed | Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities |
| title_short | Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities |
| title_sort | dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities |
| topic | commercial bank credit portfolio profitability and risk of the loan portfolio temporary consistency of assets and liabilities dynamic model portfolio boolean programming problem |
| url | https://www.pp-mag.ru/jour/article/view/1263 |
| work_keys_str_mv | AT magadzhiagayev dynamicmodelofoptimumcontrolofacreditportfolioofcommercialbankwithadditionalcriterionofliquidityoftemporarystructureofassetsandliabilities AT mahalikov dynamicmodelofoptimumcontrolofacreditportfolioofcommercialbankwithadditionalcriterionofliquidityoftemporarystructureofassetsandliabilities |