Assets and Liabilities Management Modeling, with Liquidity Risk Management Approach In the Banking System Using Fuzzy Goal Programming

Naji Azimi, Zahra; Omrani, Meysam

doi:10.18869/acadpub.jemr.7.25.91

Volume 7, Issue 25 (10-2016) jemr 2016, 7(25): 91-128 | Back to browse issues page

‎ 10.18869/acadpub.jemr.7.25.91

‎ 20.1001.1.22286454.1395.7.25.7.1

Mendeley

Zotero

RefWorks

Naji Azimi Z, Omrani M. Assets and Liabilities Management Modeling, with Liquidity Risk Management Approach In the Banking System Using Fuzzy Goal Programming. jemr 2016; 7 (25) :91-128
URL: http://jemr.khu.ac.ir/article-1-1438-en.html

Assets and Liabilities Management Modeling, with Liquidity Risk Management Approach In the Banking System Using Fuzzy Goal Programming

Zahra Naji Azimi ^*

¹, Meysam Omrani

1- , znajiazimi@ um.ac.ir

Abstract: (8489 Views)

A wide range of banking activities And its close relationship with the economy is an important reason for the importance of the reliability of banking system and its influencing factors. Accordingly to play the optimal role, banks face several challenges. Optimal management of assets, liabilities And Evaluateing the risks associated with them Such as credit risk and liquidity risk is considered as one these challenges this article attempts to define goals and optimally manage assets and liabilities with a focus on determining the optimal amount of cash and liquidity risks. According to multilateral objectives, Constraints in the banking system And the experiences of the past years, the model used in this article is Fuzzy goal programming with fuzzy constraints. The proposed model has the ability to provide optimal amounts of each of the items of the balance sheet for the coming years in accordance with previous years. To reach the final answer nine Goals and more than thirty fuzzy limits used in the model. Goals presented in the paper Are: Maximizing profits, Observing the limits of the deposit facility, Improving the share of bank deposits of the banking system, Increasing the amount of balance sheet items, Increasing the amount of some items assets to total assets, Observing the Capital adequacy limits, Reducing the volume of investment in tangible fixed assets, more Receivables than debts from central, more Receivables than debts from institutions Also in order to achieve the importance of each of these goals an Analytic Hierarchy Process is used. Finally, the results in crisp and fuzzy model are compared and improvement of results in fuzzy model is observed.

Keywords: Assets and Liabilities Management, Liquidity, Analytic Hierarchy Process, Fuzzy Goal Programming with Fuzzy Constraints

Full-Text [PDF 3180 kb] (4153 Downloads)

Type of Study: Applicable | Subject: پولی و مالی
Received: 2016/06/24 | Accepted: 2016/11/16 | Published: 2016/12/19

References

1.  Alizadeh Zavarom, A & Naji Azimi, Z (2015). Determine the right combination of crops on a farm scale using fuzzy goal programming model. Agricultural Economics and Development. 29. PP 294-307

2.  Azar, A & Amini, M.R & Ahmadi, P. (2014). Applying Fuzzy Goal Programming in University Budgeting. Quarterly Journal of Research and Planning in Higher Education. 20 (2). PP 1-24

3.  Azar, A & Faraji, H (2010). Fuzzy Management Science. Tehran. Mehraban nashr

4.  Bakhtiyari, H (2006). Effective ways of banks' liquidity management. Quarterly auditor. 1 (8). PP 86-94

5.  Divandari, A & Karoloks & Mosavi, S.R (2004). ). Designing Of liquidity management Forecasting Model in Financial institutions in Usury- free banking framwork using artificial neural networks. Management Message. 11 & 12. PP 23-58

6.  Fabozzi, Frank J & Modigliani, Franco& Jones, Frank J & Ferri, Michael G. (2002). Foundations of financial markets and institutions. Boston, MA: Prentice Hall / Pearson. xxiii, 695 p.

7.  Giokas, D & Vassiloglou, M. (1991). A goal programming model for bank assets and liabilities management. European Journal of Operational Research .50(1) .PP 48-60. [DOI:10.1016/0377-2217(91)90038-W]

8.  Independent audit report And legal inspector as well as the Financial Statements Group and Bank for 2009-2014, Mellat Bank. http://www.bankmellat.ir

9.  Islami bidgoli, G.R & Mehregan, M.R & Golami, P. (2011). Optimal management of assets in banks using fuzzy AHP and goal programming: case study in Bank A (85-87 years). Financial engineering and management of securities. 3 (9). PP 23-44

10.  Ismal, Rifki. (2010). Strengthening and improving the liquidity management in Islamic banking. Humanomics. 26(1). PP 18-35 [DOI:10.1108/08288661011024977]

11.  Kosmidou, Kyriaki & Zopounidis, Constantin (2004)، Goal programming techniques for bank asset liability management. Springer Science & Business Media.

12.  Lin, Chang-Chun & Liu, Yi-Ting & Chen, An-Pin. (2016). Hedging an option portfolio with minimum transaction lots: A fuzzy goal programming problem. Applied Soft Computing. 47. PP 295-303. [DOI:10.1016/j.asoc.2016.06.006]

13.  Lin, Chang-Chun. (2004). A weighted max–min model for fuzzy goal programming. Fuzzy Sets and Systems، 142(3)، PP 407-420 [DOI:10.1016/S0165-0114(03)00092-7]

14.  Memariani, A (1999). Fuzzy goal programming methods. Knowledge Management. P46.

15.  Pourzarandi, M.E & Omrani, M & Kavand, M (2012). Designing an Model of Measurement of liquidity risk in the banking system (Case study:Mellat Bank). biquarterly journal of iran's economic essays. 9(18). PP 135-163

16.  SHaabani, A & Adel Rastkhiz, A (2014). Comparative analysis of risks in conventional banking and in Usury- free banking In the framework of Islamic contracts. biquarterly journal of Financial - Islamic research. 2(3). PP 5-36

17.  Sori, D & Vesal, M (2008). ). New methods of financing and liquidity management in banks. The Nineteenth Conference of Islamic banking. Institute of Higher Education Iran Banking.

18.  Studies and risk control department, Tejarat Bank (2007), Risk Management in Banking, Tehran: Tejarat Bank.

19.  Studies and Risk Management Group, NE Bank (2008). Asset liability management and liquidity risk in financial institutions. Tehran Publication Fraskhn. P 171

20.  Tektas, Arzu & Nur Ozkan-Gunay, E & Gunay, Gokhan. (2005). Asset and liability management in financial crisis. The Journal of Risk Finance. 6(2). PP 135-149 [DOI:10.1108/15265940510585806]