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Mathematical model of optimizing the balance sheet structure of the Russian banking system with allowance for the foreign exchange risk levels

Author

Listed:
  • Karine Alexandrovna Barmuta

    (Don State Technical University, Russian Federation)

  • Vadim Vitalievich Ponkratov

    (Financial University under the Government of the Russian Federation, Russian Federation)

  • Maksim Maramygin

    (Ural State University of Economics, Russian Federation)

  • Nikolay Vladimirovich Kuznetsov

    (State University of Management, Russian Federation)

  • Vitali Ivlev

    (Bauman Moscow State Technical University, Russian Federation)

  • Marina I. Ivleva

    (Plekhanov Russian University of Economics, Russian Federation)

Abstract

Under present-day conditions of significant national currency fluctuations in the Russian Federation, a search for effective methods of foreign exchange risk management in the banking system is being updated. In this regard, development of a mathematical model for optimizing the asset and liability structure in Russian banks with allowance for the foreign exchange risk was the goal of the research. Using a method of regression analysis, a mathematical model has been developed to optimize the balance sheet structure of the banking system based on determining the dependence of net profit on asset and liability figures of the balance sheet, whereby the profit and profitability of banking in foreign currency is maximized. This mathematical optimization model was based on the permissible foreign exchange risk level standards in banking. Statutory financial reporting data of the Russian banking system in the aggregate denominated in foreign exchange (in ruble equivalent) for the period from 01.10.2010 to 01.02.2019 and disaggregated by months were used. The model results for the last three years were compared with the actual data. The model results can help optimize efficient allocation of resources and improve banking foreign exchange risk management policies.

Suggested Citation

  • Karine Alexandrovna Barmuta & Vadim Vitalievich Ponkratov & Maksim Maramygin & Nikolay Vladimirovich Kuznetsov & Vitali Ivlev & Marina I. Ivleva, 2019. "Mathematical model of optimizing the balance sheet structure of the Russian banking system with allowance for the foreign exchange risk levels," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 7(1), pages 484-497, September.
    • Handle: RePEc:ssi:jouesi:v:7:y:2019:i:1:p:484-497
    DOI: 10.9770/jesi.2019.7.1(34)
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    References listed on IDEAS

    as
    1. Natalia Kunitsyna & Igor Britchenko & Igor Kunitsyn, 2018. "Reputational risks, value of losses and financial sustainability of commercial banks," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 5(4), pages 943-955, June.
    2. Mr. Luc Laeven & Mr. Fabian Valencia, 2018. "Systemic Banking Crises Revisited," IMF Working Papers 2018/206, International Monetary Fund.
    3. repec:ssi:jouesi:v:1:y:2019:i:1:p:48-57 is not listed on IDEAS
    4. Sergejs Hilkevics & Valentina Semakina, 2019. "The classification and comparison of business ratios analysis methods," Insights into Regional Development, VsI Entrepreneurship and Sustainability Center, vol. 1(1), pages 48-57, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Galina Timokhina & Lyubov Prokopova & Yuri Gribanov & Stanislav Zaitsev & Natalia Ivashkova & Roman Sidorchuk & Irina Skorobogatykh & Anatoly Shishkin & Zhanna Musatova, 2021. "Digital Customer Experience Mapping in Russian Premium Banking," Economies, MDPI, vol. 9(3), pages 1-24, August.
    2. Natalia Konovalova & Aina Caplinska, 2021. "Financial Resources Management in Commercial Banks: Evidence From Latvia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 369-387, January.
    3. Oxana Afanasyeva & Dmitriy Korovin, 2020. "The impact of reserve requirements of central banks on macroeconomic indicators," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(1), pages 413-429, September.

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    More about this item

    Keywords

    asset-liability management; foreign exchange risk; foreign currency; ideal planning; modeling; banking system;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy

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