Banking Risks in the Asset and Liability Management System

Abstract

Banking risk management is considered weak compared to rapid changes in financial markets. In light of the recent global financial crisis, banking risk management has become a significant concern of banking regulators and government agencies. This work aims to build a model for assessing banking risks. The primary study method is economic–mathematical modeling based on the standardized model of the Basel Committee for Operational Risk Management, the modified CAPM model, and the model developed by Shapiro and Cornell for currency risk management. The information base was the financial statements of Bank Credit Agricole (Poland). As a result, an economic–mathematical model is built, which is the optimal combination of operational, currency, and credit risk management models. This model calculates the optimal values of bank balance sheet items, which allows for making the right management decisions. It allowed adjusting the value of the bank profit by 3.6 million US dollars. In conclusion, considering the results of banking risk modeling, the need to build a strategy for the bank’s development is determined.

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

“…Today, one of the biggest concerns of bank managers is planning to deal with the risks in banks that have been caused by various global crises. Lysiak et al [68] have proposed a model that analyzes banking risks and responds to these concerns. This model is an economic-mathematical optimization model and mostly evaluates operational risk, currency risk and credit risk.…”

“…Managers and policy makers of banks are desperately looking for the best or optimal way to manage the assets and liabilities of banks because the banking industry has a very important role in the economic system of different countries and also the need to pay constant attention to this sector has increased with major financial crises in the last few years and its impact on the banking system [68][69][70][71][72][73][74][75][76][77][78][79][80][81][82][83][84][85][86].…”

Effects of asset-liability structure on financial survival of selected deposit money banks in Nigeria

“…Though, there have been several related studies on assets-liability management on bank performance such as Abebe (2022), Adzobu, Agbloyor and Aboagye (2017), Dao (2020), Driss and Mohammed (2017), Lysiak et al (2022), Nguyen (2020), Ogbeifun and Akinola (2020), Onaolapo and Adegoke (2020), Sifrain (2022), Worimegbe and Benneth (2019) and Yuan, and Mi (2022) among others within and outside Nigeria contexts. However, most of these past related empirical studies to the best of researcher's knowledge never examined the effect of assetsliabilities structure (cash equivalent, loan portfolio, fixed assets, Total deposit and Total long-term funding) on bank financial survival proxied with CAR among banks in Nigeria.…”