مدل‌سازی مدیریت دارایی‌ها و بدهی‌ها با رویکرد مدیریت ریسک نقدینگی در نظام بانکداری با استفاده از مدل برنامه‌ریزی آرمانی فازی (FGP)؛ مطالعه موردی : بانک ملت

نویسندگان
زهرا ناجی عظیمی
میثم عمرانی
دانشگاه فردوسی
10.18869/acadpub.jemr.7.25.91
چکیده
بانک‏ها جهت ایفای نقش خود در جامعه با چالش‏های متعددی روبرو هستند. یکی از این چالش‏ها، مدیریت بهینه دارایی‏ها و بدهی‏ها و بررسی ریسک‏های مرتبط با آن‏ها مانند ریسک اعتباری و ریسک نقدینگی است. این مقاله سعی دارد با محوریت تعیین مقدار بهینه نقد و موضوع ریسک نقدینگی، اهداف متعددی را تعریف نماید و بر اساس آن به مدیریت بهینه دارایی‏‏ها و بدهی‏ها بپردازد. با توجه به تعیین اهداف چندگانه و محدودیت‏های موجود در سیستم بانکی و تجربه سالیان گذشته، مدل استفاده شده در این مقاله مدل برنامه‏ریزی آرمانی فازی با محدودیت‏های فازی است. مدل پیشنهادی مقاله، قابلیت ارائه مقادیر بهینه هر یک از اقلام ترازنامه را برای سال‏های آتی با توجه به شرایط سال‏های گذشته، داراست. جهت رسیدن به جواب نهایی تعداد نه آرمان و بیش از سی محدودیت فازی در مدل بکار رفته است. آرمان‏های ارائه شده در مقاله عبارت‌اند از حداکثرسازی سود، رعایت محدودیت نسبت تسهیلات به سپرده‌ها، ارتقا سهم بانک از سپرده‌های سیستم بانکی، افزایش مقدار اقلام ترازنامه، افزایش مقدار برخی از اقلام دارایی‏ها نسبت به کل دارایی‏ها، رعایت محدودیت کفایت سرمایه، کاهش حجم سرمایه‌گذاری در دارایی‌های ثابت مشهود، بیشتر بودن مطالبات از بانک مرکزی از مقدار بدهی به آن و بیشتر بودن مطالبات از بانک‌ها و مؤسسات اعتباری از مقدار بدهی به آن‌ها. همچنین جهت رسیدن به درجه اهمیت هر یک از این آرمان‏ها از روش تحلیل سلسله مراتبی استفاده شده است. در پایان، نتایج تحقیق در هر دو حالت قطعی و فازی با هم مقایسه شده و بهبود نتایج در حالت فازی نسبت به حالت قطعی قابل مشاهده است.
کلیدواژه‌ها
مدیریت دارایی‌ها و بدهی‌ها
نقدینگی
تحلیل سلسله مراتبی
برنامه‌ریزی آرمانی
محدودیت‌‌های فازی

عنوان مقاله English

Assets and Liabilities Management Modeling, with Liquidity Risk Management Approach In the Banking System Using Fuzzy Goal Programming

نویسندگان English

Zahra Naji Azimi
Meysam Omrani
چکیده English

A wide range of banking activities And its close relationship with the economy is an important reason for the importance of the reliability of banking system and its influencing factors. Accordingly to play the optimal role, banks face several challenges. Optimal management of assets, liabilities And Evaluateing the risks associated with them Such as credit risk and liquidity risk is considered as one these challenges this article attempts to define goals and optimally manage assets and liabilities with a focus on determining the optimal amount of cash and liquidity risks. According to multilateral objectives, Constraints in the banking system And the experiences of the past years, the model used in this article is Fuzzy goal programming with fuzzy constraints. The proposed model has the ability to provide optimal amounts of each of the items of the balance sheet for the coming years in accordance with previous years. To reach the final answer nine Goals and more than thirty fuzzy limits used in the model. Goals presented in the paper Are: Maximizing profits, Observing the limits of the deposit facility, Improving the share of bank deposits of the banking system, Increasing the amount of balance sheet items, Increasing the amount of some items assets to total assets, Observing the Capital adequacy limits, Reducing the volume of investment in tangible fixed assets, more Receivables than debts from central, more Receivables than debts from institutions Also in order to achieve the importance of each of these goals an Analytic Hierarchy Process is used. Finally, the results in crisp and fuzzy model are compared and improvement of results in fuzzy model is observed.

کلیدواژه‌ها English

Assets and Liabilities Management
Liquidity
Analytic hierarchy process
Fuzzy Goal Programming with Fuzzy Constraints
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