Designing the Optimal Model of Banking Assets and Liabilities Management based on System Dynamics Approach

Advances in Mathematical Finance and Applications

مقاله 6، دوره 8، شماره 1، فروردین 2023، صفحه 95-115   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2021.1928525.1587

نویسندگان

fatemeh Taheri¹؛ Mohammad Reza Setayesh^{* 2}؛ mohammad hasan janani¹؛ mahmoud hematfar¹

¹Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran

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

چکیده

Banks as the largest financial intermediaries play a vital role in collecting savings and directing them toward manufacturing activities. Hence, assets and liabilities management is crucial for them and their depositors. In this study, through system dynamics approach, a dynamic model was proposed to manage assets and liabili-ties optimally. After building the model and conducting validation and sensitivity analysis, three scenarios were devised and were simulated and analyzed via the proposed model. The results revealed that taking effective decisions and actions to collect more deposits, especially time deposits as well as increasing the quality of credit assets (if allocated optimally) can be effective in improving the performance of banks. Therefore, using systems thinking and system dynamics can aid banks in managing their assets and liabilities optimally. mary of the significant items in the paper, including the results and conclusions.

کلیدواژه‌ها

System Dynamics؛ Credit assets؛ Systems thinking؛ Asset management؛ Liability management

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