Asset Liability Management in Bank Portfolios With Fuzzy Linear Programming

Sánchez, Jorge de Andrés; Jiménez, Jesús Angla; Turull, Xavier Cámara; Cobo, María del Carmen Molina; García, Susana Sardá

doi:10.25102/fer.2003.02.04

Cited by 1 publication

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“…For future research directions, it is suggested that balance sheet items be optimized for each of the banks in the banking system or the entire banking system. At the end, for future research, the effects of data ambiguity and uncertainty in asset-liability management can be considered [134][135][136][137][138][139][140][141][142]. For this purpose, the popular and applicable uncertain programming approaches such as fuzzy optimization and robust optimization [165][166][167][168][169][170][171][172][173][174][175][176][177][178][179][180][181] can be used to deal with uncertainty of data.…”

Section: Conclusion and Future Research Directionsmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance sheet. Most of the studies `and proposed models in the ALM field are based on an objective function that maximizes bank profit. It is not easy to apply changes in these models in order to reach the optimal values of the parameters in the balance sheet. In this article, an attempt has been made to propose a linear model using constraints to achieve optimal values of balance sheet parameters using ALM objectives and considering balance sheet, system and regulatory constraints. It has also been tried to design the model according to the most possible mode and with the least changes and to minimize the size of the balance sheet. The analysis of the model presented in this article has been conducted using the parameters of the balance sheet and income statement of one of the famous Iranian banks. The results obtained from the proposed model show that the values of cash and receivables from banks and other credit institutions have decreased by 30% and increased by 200%, respectively, compared to the actual values of these parameters. Also, Total Income, Operating Income and Non-Operating Income have grown by 30% compared to the actual values of these parameters. Also, the values of a number of parameters are estimated to be zero after optimization. According to the results, it is obvious that the performance of bank managers, especially in the management of bank assets, is significantly different from the optimal values of the balance sheet, and the results obtained from the proposed model can help the management of banks as much as possible.

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