Solving a fractional programming problem in a commercial bank

<p style='text-indent:20px;'>We formulate a new optimization problem which arises in the Bank Asset and Liability Management (ALM). The problem is a fractional programming which belongs to a class of global optimization. Most of optimization problems in the Bank Asset and Liability Management are return maximization or risk minimization problems. For solving the fractional programming problem, we propose curvilinear multi-start algorithm which finds the best local solutions to the problem. Numerical results are given based on the balance sheets of 5 commercial banks of Mongolia.</p>

Optimizing the Asset and Liability Management of Telecommunication Company using Goal Programming Model

Since the telecommunications companies experience great competition, high churn rate, data traffic issues during the Covid-19 pandemic and the upgrade to 5G connectivity, the finance management of a telecommunications company should be analyzed to study the volatility and returns in the sector. This paper aims to develop a goal programming model to examine the asset and liability management of a telecommunication company, namely Telekom Malaysia Berhad (TM) in Malaysia. The result of this study shows that TM has achieved all the goals in maximizing assets, equities, profits, earnings and optimum management item while minimizing liabilities over the period of study from 2015 to 2019. Potential improvements on these goals have also been identified through this study. This paper has also contributed to the studies in financial management since past studies have not been done on asset and liability management in telecommunications companies which is rapidly growing and expanding even while the world is suffering from economy crisis during this pandemic.

Determining Factors of Banking Performance in Indonesia

Motivated by the large number of banking studies in Indonesia that have not included NOP (Net Open Position) in profitability modeling, our research aims to realize this. As for the reason for the importance of the Net Open Position (NOP) variable, it is almost certain that all banks will use foreign currency items in their asset and liability management activities. All commercial banks in the BUKU level 1, 2, 3 and 4 will definitely be involved in demand deposits as a consequence of continuing financial market activities to safeguard the economic activities of a country. By referring to previous research models from Al-Omar, et.al. (2008), Albulescu (2015), Muhmad & Hashim (2015), Menicucci & Paolucci (2016) and Saputri & Oetomo (2016) then identified four determinants of bank profitability variables, namely CAR, NPL, NOP and LDR. These four variables will then be defined conceptually and formulas referring to banking theory applicable in Indonesia, namely CAMEL (Capital, Management, Asset, Earning and Liquidity). Each variable will function as a bank specific factor that will determine the profitability of the bank both grossly as measured by ROA and net measured by ROE. Results of the test with panel data regression show that the NOP variable is always a determining factor in the ROA and the ROE models. This also provides evidence that NOP is indeed very important in determining ROA and ROE for bankers. With the proven NOP as the main determinant, the argument is supported that commercial banks must pay attention to the foreign exchange items in their asset and liability management. In addition to NOP, NPL is also important for determining ROA and ROE of banks.

Strategic Management of the Main Elements of the Bank's Financial Strategy

The banking sector has typically operated in a highly competitive environment, which has increased significantly as a result of recent structural economic transformations. Such conditions require a more thorough exploration of one of the fundamental elements of a bank's strategic management, i.e its financial strategy, the proper construction and adherence of which will let it successfully adapt to existing and possible changes and ensure effective financial activities. This article systematizes the theoretical understanding of the main elements in the bank's financial strategy during strategic management, which include asset and liability management, risk management, revenue management, expenses and profit/loss. The author analyzes the history of the main object formation in the assets and liabilities management of the bank, as well as the peculiarities of financial analysis of assets and liabilities. In particular, the author studies the issue to ensure a sufficient level of bank liquidity, risk minimization and profit maximization as assets and liabilities management goals. While studying the features of revenue, expenses and profit/loss management, the main approaches and directions for their implementation are identified. As a result, the author of the article proposed to consider the bank’s financial strategy in terms of its main elements, distinguishing such components as the regulation of financial status indices and financial activity results. Key words: strategic management, bank, financial strategy, asset and liability management, risk management, revenue, expense and profit or loss management.