Parametric modeling of credit and investment activities of a commercial bank and its applications

M. A. Gorskiy ()

Scientific notes of the Russian academy of entrepreneurship, vol. 17, issue 4

Abstract: The relevance of the research topic is connected with the insufficient development in the theoretical and practical plans of models for optimal management of the banking portfolio, taking into account the high volatility of the financial markets and changing parameters of a credit and investment activities of a commercial bank determined by the regulator«s policy. The article proposes a concept and an original economic and mathematical model for the parametric optimization of the credit and investment activities of a commercial bank, which is «linking» to the theory of a banking company. The parameters are considered to be endogenous factors that determine macroeconomic conditions and the bank policy for the investment resources and restrictions of the credit and investment activities taking into account the requirements of the regulator»s policy - the Central Bank in the sphere of management of reserves, liquidity and credit risk of the banking portfolio. Using a parametric approach allows to quickly analyze the impact of the regulator»s policy on the structure of the banking portfolio, the return-risk ratio and other indicators of banking activities. As an important application of the parametric model of optimization of the banking portfolio, an original approach is proposed to substantiate the phenomenon of financial stability of a bank under the variability of exogenous parameters of its activity and a method for estimating the stability interval of the structure of an optimal portfolio.

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