Theoretical aspects of Economic-mathematical modeling of the portfolio of assets and liabilities of the commercial bank

M. A. Gadzhiagayev () and E. A. Zakrevskaya ()

Scientific notes of the Russian academy of entrepreneurship, issue 45

Abstract: The current state of Economic-mathematical modeling theory of banking within neoclassical approach to interpretation of bank firm is considered. The special attention is paid to the models of management of coherence of the portfolio of assets and liabilities of the commercial bank, decisions of formation and the choice of the parameters of loan portfolio. The analysis of private and full models of bank activity is carried out and the directions of their improvement are offered in these parts: necessity of a choice of liquidity structure of assets and liabilities according to the criteria of profitability and risk of a portfolio; the accounting of the external factors that define demand - the supply of money in the financial markets, strategy and the credit policy of the bank and affecting the volatility of deposit rates, rates on the retail, corporate and interbank credit.

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