Designing the optimal asset-liability model using the multi-objective decision-making method with the approach of liquidity, credit, balance sheet, and capital adequacy risks.
Subject Areas : Financial engineering
mostafa khosroyani
1
,
Gholamreza zomorodian
2
,
mirfiz fallahshams
3
1 - financial management department ,central branch ,Islamic azad university ,Tehran , Iran
2 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and member of Modern Financial Risk Research Group
3 - Department of Financial Management, central Tehran Branch, Islamic Azad University. Tehran, Iran and Faculty member of islamic azad univesity
Keywords: goal programming, Risk, asset and liability management,
Abstract :
In this research, asset and liability management, which is one of the most important things done by banks, is examined. The methods and complexity of the process used to manage assets and liabilities depend on the size and complexity of the portfolio. Bank Mellat, as one of the most central banks in the country, in line with its organizational goals and missions, needs accurate economic planning and high-yield investments in order to maintain the value of depositors' reserves and provide the necessary resources to fulfill its long-term and short-term obligations. According to the stated content, the main problem of this research consists in the fact that due to the importance of asset and liability management with the approach of liquidity risks, credit, balance sheet, capital structure as a comprehensive approach that includes different types of important risks and It includes the important, it should be noted. In this research, we consider asset and debt management with more important factors in this matter, so that the model is more efficient than the previous models presented, which has been taken into account with the approach of goal programming.
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