IDEAS home Printed from https://ideas.repec.org/a/ahc/journl/yid1263.html
   My bibliography  Save this article

Dynamic model of optimum control of a credit portfolio of commercial bank with additional criterion of liquidity of temporary structure of assets and liabilities

Author

Listed:
  • M. A. Gadzhiagayev
  • M. A. Halikov

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.

Suggested Citation

  • M. A. Gadzhiagayev & M. A. Halikov, 0. "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, JSC “Publishing Agency “Science and Educationâ€, issue 29.
    • Handle: RePEc:ahc:journl:y::id:1263
    as

    Download full text from publisher

    File URL: https://www.pp-mag.ru/jour/article/viewFile/1263/1259
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ahc:journl:y::id:1263. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ð ÐµÐ´Ð°ÐºÑ†Ð¸Ñ (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.