TY - JFULL AU - Svetlana Saksonova PY - 2011/6/ TI - Approaches to Determining Optimal Asset Structure for a Commercial Bank T2 - International Journal of Economics and Management Engineering SP - 587 EP - 594 VL - 5 SN - 1307-6892 UR - https://publications.waset.org/pdf/7576 PU - World Academy of Science, Engineering and Technology NX - Open Science Index 53, 2011 N2 - 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. ER -