Developing a Risk-Adjusted Optimal Bank Balance Sheet Model
Keywords:
Risk, Balance Sheet, Government and Private Facilities, Bank Profitability, FinancingAbstract
The objective of this study is to present a framework for the optimal balance sheet of banks while incorporating risk considerations. The research utilizes data from banks’ financial statements, including the balance sheet and the profit and loss statement, for the years 2022 and 2023. First, the modeling of balance sheet items is conducted; then, the relationships between balance sheet items—such as government and private facilities, overnight facilities, and investments—and profit and loss indicators, as well as the relationships between balance sheet items and their associated risks, are examined. The risks considered in this study include credit risk, operational risk, market risk, and liquidity risk. Finally, optimization of the equations is performed based on maximizing bank profitability and reducing risk, taking into account financial and compliance constraints. This model assists banks in achieving the highest possible returns from their assets while mitigating risks. At the same time, the model improves and reforms banks’ balance sheets, enabling more effective and efficient financing of enterprises by banks.
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