Methods of Optimisation of the Structure of the Dealing Bank with a Limited Base of Counter-Agents

Novak Sergiy M. ()
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Novak Sergiy M.: Sevastopol Institute of Banking of the Ukrainian Academy of Banking of National Bank of Ukraine

Business Inform, 2013, issue 11, 70_75

Abstract: The article considers methods of assessment of optimal parameters of the dealing bank service with a limited base of counter-agents. The methods are based on the mathematical model of micro-structure of the inter-bank currency market. The key parameters of the infrastructure of the dealing service within the framework of the model are: number of authorised traders, contingent of counter-agents, quotation policy, main parameters of the currency market - spread and volatility of quotations and the resulting indicators of efficiency of the dealing service - profit and probability of breakeven operation. The methods allow identification of optimal parameters of the infrastructure of the dealing bank service based on indicators of dynamics of currency risks and market environment of the bank. On the basis of the developed mathematical model the article develops methods of planning calculations of parameters of the infrastructure of the dealing bank service, which are required for ensuring a necessary level of efficiency with set parameters of the currency market. Application of the said methods gives a possibility to assess indicators of operation of the bank's front office depending on its scale.

Keywords: theory of market micro-structure; currency market; exchange rate; dealing service; optimisation (search for similar items in EconPapers)
Date: 2013
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