Bank’s Assets and Liabilities Management With multiple Sources of Risk
نویسنده
چکیده
The industrial organization approach to banking is applied to analyze the effects of the introduction of joint credit and interbank rate risk on the optimal decisions on deposits and loans of a competitive bank. It is found that due to the introduction of both sources of risk there appear direct effects as well as portfolio effects which jointly determine changes in the bank’s behavior. Moreover, it is shown that there is an interaction between the effects of the introduction of risk and economies or diseconomies of scope in the bank’s business which determines the extend of behavioral changes.
منابع مشابه
Provide a model to compare the optimal and real structure of assets and liabilities of commercial banks in Iran
Banks are one of the most important economic pillars of countries that play a significant role in their growth and development. In Iran, due to the expansion of the financial and monetary system, banks have practically taken on the task of collecting and allocating economic resources. One of the important tasks of banks is the optimal management of assets and liabilities with the aim of maximiz...
متن کاملDiscussion of “Liquidity, Moral Hazard, and Interbank Market Collapse”
Financial intermediaries, such as banks, perform many roles: they screen risks, evaluate and fund worthy entrepreneurs, pool risks, monitor borrowers, refinance projects, and—when confronted with the default in their loans—they perform a valuable role in loss discovery and assessing whether the bankrupt concern is economically viable or not. All these activities, which constitute the actions of...
متن کاملLiquidity Risk Hedging
Long-term bonds are exposed to higher interest-rate risk, or duration, than short-term bonds. Conventional interest-rate risk management prescribes that a firm structure the maturity of its liabilities in order to hedge the duration of its long-term assets (?). By doing so, the firm’s assets and liabilities move in lockstep, and its net equity is shielded from (at least small) movements in inte...
متن کاملInsurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization
We seek to determine the optimal amount of the insurer’s investment in all types of assets for a small and closed economy. The goal is to detect the implications and contributions the risk seeker and risk aversion insurer commonly make and the effectiveness in the investment decision. Also, finding the optimum portfolio for each is the main goal of the present study. To this end, we adopted the...
متن کاملمدلسازی مدیریت دارایی‌ها و بدهی‌ها با رویکرد مدیریت ریسک نقدینگی در نظام بانکداری با استفاده از مدل برنامه‌ریزی آرمانی فازی (FGP)؛ مطالعه موردی : بانک ملت
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 ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2003