Parametric Models for Optimizing the Credit and Investment Activity of a Commercial Bank
Parametric Models for Optimizing the Credit and Investment Activity of a Commercial Bank

Summary/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 changing parameters of the external and internal environments of the credit and investment activities of a commercial bank.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. The parameters are considered to be endogenous factors that determine 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. The criteria and composition of parametric models for static and dynamic variants are given and substantiated, the peculiarity of which is “linking” to the theory of a banking company, within which it is possible to build both full and private models of banking activity (optimization of interest rates, choice of priority loan applications, etc.).The authors consider the problem of choosing the indicator of financial stability of a bank, which is proposed as a linear convolution of integral indicators of profitability of credit and investment activities and bank liquidity. A feature of this indicator is the simultaneous consideration of uncorrelated factors of external and internal environments that determine the credit and investment strategy of the bank.

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