Optimizing Asset and Liability Management with Fractional Planning Model Approach (Case Study: Melli Bank of Iran)

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LABBAFI M.; DARABI R.; SARRAF F.

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Journal Paper

Paper Information

Journal: Journal of Operational Research in its Applications Year:2021 | Volume:18 | Issue:3 (70) Page(s): 93-109

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Information Journal Paper

Title

Optimizing Asset and Liability Management with Fractional Planning Model Approach (Case Study: Melli Bank of Iran)

Author(s)

LABBAFI M. | DARABI R. | SARRAF F. | Issue Writer Certificate

Keywords

Optimization

Asset Management

Liability Management

Fractional Planning

Abstract

Asset and Liability Management (ALM) is one of the key issues in strategic planning in banks. Whereas asset and Liability Management has provided a ground in which various financial activities can be centrally assessed, most financial analysts use this approach for long-term strategic planning of banks. In this study, considering a Fractional Planning model through nonlinear constraints, it has analyzed the assets and liabilities management of the Melli Bank of Iran with 10-year data (2009-2018), so that in previous research, most of the planning problems were solved through other linear programming models. To achieve the above objective, 14 items existing in the assets and liabilities of the balance sheet are extracted for computing of 9 variables used in the model and Finally the results obtained from solving the fractional programming model in Lingo software indicate that Asset Management in Melli Bank of Iran has been in a better position than the debt ratio in 2016-2018 by comparing real and optimal ratios. The results also show optimizing of the present situation a higher capital adequacy ratio of up to 16% compared to the ratio approved by the Basel Committee 3.

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APA: Copy

LABBAFI, M., DARABI, R., & SARRAF, F.. (2021). Optimizing Asset and Liability Management with Fractional Planning Model Approach (Case Study: Melli Bank of Iran). JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 18(3 (70) ), 93-109. SID. https://sid.ir/paper/950719/en

Vancouver: Copy

LABBAFI M., DARABI R., SARRAF F.. Optimizing Asset and Liability Management with Fractional Planning Model Approach (Case Study: Melli Bank of Iran). JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2021;18(3 (70) ):93-109. Available from: https://sid.ir/paper/950719/en

IEEE: Copy

M. LABBAFI, R. DARABI, and F. SARRAF, “Optimizing Asset and Liability Management with Fractional Planning Model Approach (Case Study: Melli Bank of Iran),” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 18, no. 3 (70) , pp. 93–109, 2021, [Online]. Available: https://sid.ir/paper/950719/en

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