مدل‌‎سازی مدیریت دارایی‌ها –بدهی‎ها‎ در بانک ملی ایران تحت شرایط عدم اطمینان: رویکرد مدل برنامه‎ریزی کسری

نوع مقاله : مقاله پژوهشی - کاربردی

نویسندگان

1 دانشجوی دکتری حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.

2 دانشیار گروه حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.

3 استادیار گروه حسابداری، واحد تهران جنوب، دانشگاه آزاد اسلامی، تهران، ایران.

10.22105/dmor.2020.255392.1252

چکیده

مدیریت دارایی - بدهی (ALM) فعالیت مهمی‎در برنامه‎ریزی استراتژیک بانک‎ها محسوب می‎گردد و می‎تواند به عنوان یک مسئله بهینه‎سازی در جایی دیده شود که بانک‎ها قصد دارند به اهداف خاص خود دست یابند. هدف اصلی این پژوهش ارائه الگوی ریاضی برای بهینه‎سازی دارایی‎ها و بدهی‎های بانک ملی ایران تحت شرایط عدم اطمینان با مدل برنامه‎ریزی کسری فازی طی دوره 10 ساله (97 -88) است. جهت دستیابی به هدف فوق 14 اقلام موجود در دارایی‎ها و بدهی‎های ترازنامه این بانک برای محاسبه 9 متغیر مورد استفاده در مدل استخراج شده و نهایتاً نتایج بدست آمده از حل مدل برنامه‎ریزی کسری فازی در محیط نرم‎افزار لینگو بیانگر آن است که مدل پیشنهادی مقاله، قابلیت ارائه مقادیر بهینه هر یک از اقلام ترازنامه را برای سال‎های آتی با توجه به شرایط سال‎های گذشته، داراست و ارزش تابع هدف برای بانک ملی با درنظر گرفتن بهینه‎سازی در تصمیمات مدیریت دارایی و بدهی می‎تواند به نسبت کفایت سرمایه مطلوب دست یابد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Modeling of asset-liability management in Bank Melli Iran under uncertainty: fractional programming model approach

نویسندگان [English]

  • Masoumeh Labbafi 1
  • Roya Darabi 2
  • fatemeh sarraf 3
1 Phd Student of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.
2 Associate Professor of Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.
3 Assistant Professor of Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.
چکیده [English]

Asset- Liability Management (ALM) is an important activity in strategic planning of banks and it can be seen as an optimization issue where banks want to achieve their specific goals. The main purpose of this study is to provide a mathematical model for optimizing the assets and liabilities of Bank Melli Iran under conditions of uncertainty with fuzzy fractional programming model over a period of 10 years (2009-2018). In order to achieve the above goal, 14 items in the assets and liabilities of the bank's balance sheet have been extracted to calculate the 9 variables used in the model and finally, the results obtained from solving the fuzzy fractional programming model in Lingo software environment indicate that the proposed model of the article is able to provide the optimal values ​​of each of balance sheet items for future years according to the conditions of previous years and the value of the objective function for Bank Melli can achieve the desired capital adequacy ratio by considering optimization in asset and liability management decisions.

کلیدواژه‌ها [English]

  • Modeling
  • Asset
  • Liability
  • Uncertainty
  • Fractional programming
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