A Mathematical Model of Controlling the Portfolio of a Commercial Bank

Elena M. Krasavina, Aleksey P. Kolchanov and Aleksandr N. Rumyantsev
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Elena M. Krasavina: MIREA, Technical University
Aleksey P. Kolchanov: Perm State University
Aleksandr N. Rumyantsev: Perm State University

A chapter in Mathematical Modeling, 2001, pp 129-134 from Springer

Abstract: Abstract Nowadays methods of mathematical modeling are widely used in Economics. In this regard banking is one of the most promising field. The necessity of using methods of mathematical modeling in banking stems from the fact that the present-day Russia banking system has very constrained possibilities for effective lend-borrow operating (in view of the unstable resource base, stringent credit limitations, tendency for a decrease of interest rates and a decline of profit margins of bank operation). In this connection there is growing in importance the scientific approach to solving the bank resources control problem. This approach enables one to take into account complicated economic interrelations, the multitude of external and internal factors in the activity of a bank. In this fields, a crucial role is played by mathematical modeling1, 2 with the use of the theory of functional differential equations 3, 4. As proposed in what follows, mathematical models in the form of boundary value problems for impulse functional differential systems can be studied using the reliable computer experiment (in sense of5).

Date: 2001
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DOI: 10.1007/978-1-4757-3397-6_13

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