liability management
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2021 ◽  
Vol 31 (12) ◽  
pp. 3178
Author(s):  
Camilla Casimira Kurniawan ◽  
Judith Felicia Pattiwael Irawan

The 2020 pandemic affected the economic sector, including banking sector, especially banks in the BUKU 1 category. This study aims to identify internal factors that affect bank profitability between normal conditions in 2019 and conditions when economic growth experienced a contraction due to the pandemic in 2020. This study is based on the theory of Asset-Liability Management (ALM) and uses multiple linear regression method with ROA as a measure of profitability, LDR, BOPO, and CAR as independent variables, and NPL as quasi moderator. The results of this study provide findings that to maintain profitability, banks need to pay attention to cost efficiency which is reinforced by the risk of bad loans. Meanwhile, in unstable conditions, there are additional liquidity risk factor that must also receive attention. Thus, the results of this study are in line with the liability management approach. Keywords : Bank profitability; Normal Condition, Contraction of Economic Growth.


2021 ◽  
Vol 2021 ◽  
pp. 1-15
Author(s):  
Shuang Li ◽  
Yu Yang ◽  
Yanli Zhou ◽  
Yonghong Wu ◽  
Xiangyu Ge

How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion with only risky assets, which has been considered under a continuous-time Markov regime-switching setting. Next, based on this realistic modelling, an extended Hamilton-Jacob-Bellman (HJB) system has been necessarily established for solving the optimization problem of asset-liability management. It has been derived closed-form analytical expressions applied in the time-inconsistent investment with optimal control theory to see that happens to the optimal value of the function. Ultimately, numerical examples presented with comparisons of the analytical results under different market conditions are exposed to analyse numerically the developed mean variance asset liability management strategy. We find that our proposed model can explain the financial phenomena more effectively and accurately.


2021 ◽  
Vol 6 (2) ◽  
pp. 81-101
Author(s):  
Jyoti Tanwar ◽  
Arun Kumar Vaish ◽  
NVM Rao

In earlier years, there was abundance of funds in banks in the form of demand and savings deposits. Hence, the focus of banks was mainly on asset management. But intense competition and volatility of interest rate due to banking reforms reduced the availability of low-cost funds and therefore, banks focused on liability management as well. These pressures call for structured and comprehensive measures and not just ad hoc action. This is how banks started to concentrate more on the management of both sides of the balance sheet. As a result, the concept of asset-liability management originated in India and introduced in the Indian banking industry since 1st April 1999 to administer the risk management aspects. This paper attempts to optimize assets and liabilities of banks using goal programming technique. Secondary data is collected from annual reports of Allahabad bank from 2010-2019 and RBI website is used for modelling. The findings show that in Allahabad bank, goal programming help in achieving optimization and increase profitability. The model incorporating constraints and set objectives. It model can support banks in decision making process, planning, budgeting, and forecasting. An attempt is made to use realistic goals and constraints after discussing with bank officials. JEL Classification Codes: C61, G21, G32.


2021 ◽  
Vol 25 (1) ◽  
pp. 92-97
Author(s):  
Natalia Kutsay ◽  
◽  
Valentyn Demchuk ◽  

Annotation. Introduction. In the conditions of crisis, unstable external environment and pressure of competitors there are two needs for timely adaptation for enterprises. In these conditions, it becomes increasingly necessary to manage the financial condition of the enterprise. Financial condition management is a capacious process with specific stages and tasks, the implementation of which requires an in-depth analysis of the financial performance in the enterprise. It is difficult for an enterprise today to assess the role of well performing financial management. Asset and liability management, timely investment and receipt of funds, the ability to meet the requirements of creditors, the vision of managers of prospects for business development are keys to survival an enterprise in modern conditions. Given this, it is extremely important to understand the process of managing the financial condition and the stages of its implementation. Purpose. The purpose of the article is to clarify the essence of the concept of «financial condition management». The company’s tasks and stages, as well as the role and importance in the activities of enterprises. Results. It is determined that the management of the financial condition in the enterprise is a complex process that includes a system of tasks and a sequence of stages for the implementation of management. It is substantiated that the management of financial condition is carried out on the basis of financial analysis of the enterprise. The tasks performed by the management of the financial condition of the enterprise are described, the tasks are formulas for calculating the indicators of financial stability, liquidity and solvency, business activity and profitability. The sequence of stages of financial condition management which consists of preparatory, main and final stages is characterized. Conclusions. It is concluded that the management of the financial condition in the enterprise is an important process that requires study, research and use in the company’s activities. It is determined that financial management is a process of influencing the organization using various financial mechanisms (financial methods, financial levers, regulatory and legal support and information support) to develop and achieve strategic goals of the enterprise. Keywords: financial condition; financial management condition; financial management tasks condition; stages of financial management condition.


Author(s):  
Lionel Martellini ◽  
Vincent Milhau

Abstract This paper introduces an integrated asset-liability management model that allows for the joint quantitative analysis of capital structure choices, pension fund allocation decisions and rational pricing of liabilities. We confirm that capital structure decisions have a substantial impact on the value of pension claims, and we provide a quantitative assessment of the mispricing induced by the use of an arbitrary regulatory discount rate. We also present a quantitative assessment of the asset substitution effect implied by a change in the pension fund allocation to risky assets taking place after the corporate and pension obligation claims have been issued.


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