Developing of an asset/liability allocation model for banks

Mohsen Mohammadloo, Nasser Motahari Farimani, Mehdi Feizi and Mohammadali Pirayesh

Afro-Asian Journal of Finance and Accounting, 2024, vol. 14, issue 1, 115-141

Abstract: Asset-liability management is one of the solutions for implementing banking policies in the economy. This study is aimed to determine the parameters, variables, and constraints of multi-objective modelling for asset-liability management of banks. Therefore, the standard balance sheet of Bank A (as research variables), which is one of the branches of a state-owned bank in Iran, was reviewed at the end of its fiscal year in 2017. Using the Delphi technique, a linear multi-objective model was presented, the most significant feature of which was the inclusion of new constraints and strategic goals, such as increasing joint income, increasing the share of low-cost deposits, and increasing productive assets. To solve that model, Microsoft Excel was used through the lexicography method. By solving the model, the optimal values of balance sheet variables were calculated for Bank A.

Keywords: bank; asset/liability management; ALM; multi-objective linear model; lexicography method. (search for similar items in EconPapers)
Date: 2024
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