Mathematical Model of Banking Firm as Tool for Analysis, Management and Learning
نویسندگان
چکیده
An essential concern for banking firms is the problem of assets and liabilities managing (ALM). Over last years a lot of model tools were offered for solving this problem. We offer the novel approach to ALM based on transport equations for loan and deposit dynamics. Given the bank's initial state, and various deposit inflow scenarios the model allows provide simulations including stress-testing, and can be used for assessment of liquidity risk, for examine loan issue decisions to choose reasonable solution, and in the learning purposes.
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تاریخ انتشار 2013