Modeling Liquidity Risk Management in Banking Using System Dynamics Approach

Advances in Mathematical Finance and Applications

مقاله 6، دوره 6، شماره 3، مهر 2021، صفحه 493-514   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2020.1899914.1424

نویسندگان

Seyyed Yahya Asadollahi¹؛ Ali Asghar Taherabadi^{* 2}؛ Farhad Shahveisi³؛ Farshid Khairollahi⁴

¹Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran.

²Department of Accounting, Kangavar Branch, Islamic Azad University, Kangavar, Iran.

³Department of Accounting, Razi University, Kermanshah, Iran

⁴Department of Accounting, Razi university, Kermanshah, Iran.

چکیده

Banks as one of the most important and crucial economic sectors in each country play a significant role in economic growth and development and they face various risks one of which is liquidity risk. Managing liquidity risk is of great importance and identifying its effective factors is more vital. The present study aims to pre-sent a dynamic model to manage liquidity risk. System dynamics is used to find a risk making structure and present the most effective solution to manage it. In this method, by providing a mathematical model, simu-lating the results of various scenarios is possible. The results of implement-ing four scenarios on the model were simulated and analyzed. The results revealed that reducing legal deposits and nonperforming loans and increasing attraction of deposits is influential in banks liquidity risk.

کلیدواژه‌ها

Liquidity risk؛ Managing Liquidity risk؛ System dynamics

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