%0 Journal Article
	%A Svetlana Saksonova
	%D 2011
	%J International Journal of Economics and Management Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 53, 2011
	%T Approaches to Determining Optimal Asset Structure for a Commercial Bank
	%U https://publications.waset.org/pdf/7576
	%V 53
	%X Every commercial bank optimises its asset portfolio
depending on the profitability of assets and chosen or imposed
constraints. This paper proposes and applies a stylized model for
optimising banks' asset and liability structure, reflecting profitability
of different asset categories and their risks as well as costs associated
with different liability categories and reserve requirements. The level
of detail for asset and liability categories is chosen to create a
suitably parsimonious model and to include the most important
categories in the model. It is shown that the most appropriate
optimisation criterion for the model is the maximisation of the ratio
of net interest income to assets. The maximisation of this ratio is
subject to several constraints. Some are accounting identities or
dictated by legislative requirements; others vary depending on the
market objectives for a particular bank. The model predicts variable
amount of assets allocated to loan provision.
	%P 588 - 594