Designing the Optimal Model of Banking Assets and Liabilities Management based on System Dynamics Approach
الموضوعات :
fatemeh Taheri
1
(Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran)
Mohammad Setayesh
2
(Department of Accounting,Borujerd Branch, Islamic Azad University, Borujerd, Iran.)
mohammad hasan janani
3
(Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran)
mahmoud hematfar
4
(Department of Accounting, Borujerd Branch, Islamic Azad University, Borujerd, Iran)
الکلمات المفتاحية: Systems thinking, Asset management, System Dynamics, Credit assets, Liability management,
ملخص المقالة :
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.
[1] Abbasi, E., Bastan, M., Ahmadvand, A., A system dynamics model for mobile banking adoption, Paper presented at 12th International Conference on Industrial Engineering of Iran, 2016, P.1-9, Doi: 10.1109/INDUSENG.2016.7519341, (in Persian).
[2] Abdollahi, H., Multi-Objective Programing for Bank’s Asset-Liability Management: The Case of Iranian Banking Industry, International Journal of Industrial Engineering & Production Research, 2020, 31(1), P.75-85, Doi: 10.22068/ijiepr.31.1.75.
[3] Ahmadian, A., Shahchera, M., The effect of Asset-Liability Management on the liquidity risk of Iranian banks, Journal of Money and Economics, 2018, 13(1), P. 123-107. (in Persian).
[4] Alborzi, M., Mohammadpour Zarandi, M. A., Shahriari, M. Resource and Expenditure Management in Banks with a Dynamic Systems Approach, Journal of Financial Engineering and Securities Management, 2011, 2(6), P.41-59, (in Persian).
[5] Anjili, D. A. Effects of asset and liability management on the financial performance of commercial banks in Kenya, 2014, Doctoral dissertation, University of Nairobi.
[6] Arab Mazar yzadi, M., Baghomian, R., Kake Khani, F., Investigating the relationship between asset and debt composition and liquidity risk of banks in Iran, Journal of Auditing Knowledge, 2013, 13(52), (in Persian).
[7] Asadollahi, S., Taherabadi, A., Shahveisi, F., Khairollahi, F., Modeling Liquidity Risk Management in Banking Using System Dynamics Approach, Advances in Mathematical Finance and Applications, 2021, 6(3), P.493-514.
Doi: 10.22034/amfa.2020.1899914.1424.
[8] Balouei, E., Anvary Rostamy, A., Sadeghi Sharif, S., Saeedi, A. The Impacts of Financial Structure on Financial Performance of Banks listed in Tehran Stock Exchange: An Empirical Application, Advances in Mathematical Finance and Applications, 2018, 3(3), P.11-26, Doi: 10.22034/amfa.2018.544946.
[9] Bidabad, B., Allahyarifard, M., Assets and Liabilities Management in Islamic Banking, International Journal of Islamic Banking and Finance Research, 2019, 3(2), P.32-43, Doi:10.46281/ijibfr.v3i2.272.
[10] Brick, J. R. Asset-liability management: Theory, practice, implementation, and the role of judgment, Filene Research Institute, 2014.
[11] Bushra, A.H, Hilwana, A, Norasyikin, A.F, Nor, F.M, Sayed, K, Sayed, N, Nasruddin, H. Bank Financial Statement Management using a Goal Programming Model, Procedia - Social and Behavioral Sciences, 2015, 211, P.498- 504, Doi: 10.1016/j.sbspro.2015.11.066.
[12] Chakroun, F., Abid, F. A Multi-Objective Model for Bank Asset Liability Management: The Case of a Tunisian Bank, The IUP Journal of Financial Risk Management, Forthcoming, 2013.
[13] Dash, J., Gordon, H., Nina K. A nonlinear goal programming model for efficient asset-liability mamangement of property-liability insurers, Information Systems and Operational Research, 2005, 43(2), P.135-156, Doi: 10.1080/03155986.2005.11732422.
[14] Daumont, R., Le Gall, F., Leroux, F. Banking in Sub-Saharan Africa: what went wrong? 2004, (2004-2055). International Monetary Fund (IMF) Working Paper No. 04/55.
[15] Divandari, AS, lox, C., Mousavi, Sar., Appropriate design of forecasting in liquidity management of financial institutions in the framework of interest-free banking system using neural networks, Journal of Business Management Perspective, 2005, 11(12), P.23-58, (in Persian).
[16] Ekhtiari, M., Alem Tabriz, A., Optimization of banks' resource and expenditure portfolio using linear programming- Case study: Bank Saderat Iran, Journal of Financial Management Perspective, 2015, 5 (121), P. 135-158, (in Persian).
[17] Faraji, A., Nazarian, R., Investigation of Asset/Liability Structure of the Alpha Commercial Bank: A Canonical Correlation Analysis Approach, Journal of Islamic Financial and Banking Studies, 5(12), P.103-128, Doi: 10.22034/JIFB.2020.204381.1154, (in Persian).
[18] Ghaderi, A., Systematic thinking and the art of modelling, Strategy Magazine, 2014, 24(31), P.5-74, (in Persian).
[19] Ghasemi, S., Sarlak, A. Investigating the Impact of the Financial Crisis on Conservative Accounting and Transparency of Banking Information, Advances in Mathematical Finance and Applications, 2018, 3(3), P. 53-68, Doi: 10.22034/amfa.2018.544949.
[20] Goldstein, M., Turner, P. Banking crises in emerging economies: origins and policy options, Trade Currencies and Finance, 1996, P. 301-363.
[21] Haji Gholam Sarizadi, A., Rajabzadeh Qatari, A., Mashayekhi, A. N., Hassanzadeh, A., Designing a dynamics model of collective financing system in Iran, Journal of New Research in Decision Making, 2020, 5(2), P. 49-80, (in Persian).
[22] Hekimoğlu, M., Barlas, Y., Sensitivity analysis of system dynamics models by behavior pattern measures, 2010, Retrieved on March, 18, 2015.
[23] Hekimoğlu, M., Barlas, Y., Sensitivity analysis for models with multiple behavior modes: a method based on behavior pattern measures, System Dynamics Review, 2016, 32(3-4), P. 332-362, Doi: 10.1002/sdr.1568.
[24] Izadinia, N., Kandahari, M., Abedini, A., Abedini Naini, M., Asset-Liability Management of Banks Using Goal Programming Model and Fuzzy ANP (Case Study: Tejarat Bank), Asset Management and Financing, 2017, 5(4), P. 155-166, Doi: 10.22108 / amf.2017.21178, (in Persian).
[25] Kapur, I., Jerald, A., Schiff, J., Hadjimichael, M., Philippe Szymczak, and Paul Louis Ceriel Hilbers. Ghana; Adjustment and Growth, 1991, 1983-91. 86. International Monetary Fund.
[26] Karthigeyan, A., Mariappan, V., Rangaiah, B., Asset-Liability management in indian private sector banks – a canonical correlation analysis, Journal Impact Factor, 2013, 4(5), P.6-13.
[27] Kobayashi, T., Network versus portfolio structure in financial systems, The European Physical Journal B, 2013, 86(10), P.1-12, Doi: 10.1140/epjb/ e2013-40072-9.
[28] Kosmidou, K., Zopounidis, C. Combining goal programming model with simulation analysis for bank asset liability management, INFOR: Information Systems and Operational Research, 2004, 42(3), P.175-187.
Doi: 10.1080/03155986.2004.11732701.
[29] Kruger, M. A Goal Programming Approach to Strategic Bank Balance SheetManagement, SAS Institute, Centre for BMI, North-West University, South Africa, 2011, Doi:10.1.1.222.2597.
[30] Lee, L., Green, E., Systems Thinking and its Implications in Enterprise Risk Management, Journal of Information Systems, 2015, 29(2), P.195-21, Doi: 10.2308/isys-51047.
[31] Mohammadi, R., Sherafati, M. Optimization of Bank Liquidity Management using Goal Programming and Fuzzy AHP, Research Journal of Recent Sciences, 2015, 4(6), P.53-61.
[32] Mohammadloo, M., Motahhari Farimani, N., Faizi, M., Pirayesh, M. A. Development of a dynamic simulation model for asset-debt allocation in banks, Quarterly Journal of Resource Management in Law Enforcement, 2019, 3, P.85-116, (in Persian).
[33] Mohseni, S., Hosseiniehpour, S. M., Jafari Moqaddam, M. Optimal management of deposits and loans in Keshavarzi Bank with a Goal Programing approach, Journal of Islamic Economics and Banking, 2019, 8(28), P. 203-220, (in Persian).
[34] Moshiri, E., Karimi, M. Optimal Management of Assets and Liabilities in Banks Using Goal Programing Model and Hierarchical Analysis Method-Case Study: Karafarin Bank, Journal of Financial Research, 2006, 8 (22), P.89-117, (in Persian).
[35] Mukasinayobye, I., Mulyungi, P. Influence of Asset Liability Management on Financial Performance of Commercial Banks in Rwanda: Camel Model Approach, International Journal of Science and Research, 2018, 7(11), P. 174-178, Doi: 10.21275/ART20192582.
[36] Naghshineh, N, Hanifi, F, Kordawi, H.R. Banking Assets and Liabilities Management Using Linear Multi-Objective Planning with Econometric Simulation "Case Study: Bank X", Journal of Financial Engineering and Securities Management, 2013, 4(14), (in Persian).
[37] Niknafs, J., Keramati, M., Haghighatmonfared, J., Estimating Efficiency of Bank Branches by Dynamic Network Data Envelopment Analysis and Artificial Neural Network, Advances in Mathematical Finance and Applications, 2020, 5(3), P.377-390. Doi: 10.22034/amfa.2019.1585957.1192.
[38] Omrani, M., Naji Azimi, Z., Modeling asset and debt management with liquidity risk management approach in the banking system using fuzzy ideal planning model (FGP), Economic Modeling Research, 2016, 7(25), P. 129-182, (in Persian).
[39] Owusu, F., Alhassan, A., Asset‐Liability Management and bank profitability: Statistical cost accounting analysis from an emerging market, International Journal of Finance & Economics, 2021, 26(1), P.1488-1502. Doi: 10.1002/ijfe.1860.
[40] Pishbin, S. J., Assets and liabilities management in Parsian Bank and its effects on bank efficiency, The third national conference and the third international conference of management and accounting of Iran, Hamedan, 2016, (in Persian).
[41] Rezaei F., Mehri Namakavarani A., Relationship between Assets and liabilities management with financial performance and quality of financial reporting in banks, Journal of New Research Approaches in Management and Accounting, 2018, 2(8), P. 177-192, (in Persian).
[42] Safaei, B, Mosleh Shirazi, A., Mohammadi, A., Ali Mohammadloo, M., Presenting a systematic model for disseminating commercial soft technology in Iran's oil industry, Journal of Technology Development Management, 2018, 6(3), P.41-70. Doi: 10.22104 / jtdm.2019.3028.2030, (in Persian).
[43] Sharma, H. P., Sharma, K. D., Jana. R. K., Credit union portfolio management - An additive fuzzy goal programming approach, International Research Journal of Finance and Economics, 2009, 30, P.18-29, Doi:10.1.1.222.2597.
[44] Sterman, J. D., Appropriate summary statistics for evaluating the historical fit of system dynamics models, Dynamica, 1984, 10(2), P.51-66.
[45] Taghizadeh Yazdi, M. R., Fallahpour, S., Ahmadi Moghadam, M., Portfolio selection by means of Meta-goal programming and extended lexicograph goal programming approaches, Journal of Financial Research, 2016, 18(4), P. 591-612, Doi: 10.22059 / jfr.2017.62580, (in Persian).
[46] Tee, E., Asset Liability Management and the Profitability of Listed Banks in Ghana, IOSR Journal of Economics and Finance (IOSR-JEF), (2017), 8(3), P. 9-14, Doi: 10.2139/ssrn.2987875.
[47] Tektas, A, E., Nur Ozkan‐Gunay, E., Gokhan, G., Asset and liability management in financial crisis, The Journal of Risk Finance, 2005, 6(2), P.135-149. Doi:10.1108/15265940510585806.
[48] Teymouri, E., Noorali, A., Valizadeh, N., System Dynamics - A practical approach to solving management problems, Iran, University of Science and Technology (UST), 2014.
[49] Wang, J. S., Ning, C. X. ANFIS Based time series prediction method of bank cash flow optimized by adaptive population activity PSO algorithm, Information, 2015, 6(3), P.300-313, Doi:10.3390/info6030300.
[50] Wang, L. Sh., Ning, Ch. X., Cui, W. H., Time Series Prediction of Bank Cash Flow Based on Grey Neural Network Algorithm, 2015, Doi: 10.1109/ICEDIF.2015.7280205.
