Home  Journals  Finance and Credit  29(605) - 2014 August

Conceptual model of diversified portfolio management of bank assets

Available online: 4 August 2014

Subject Heading: Banking

JEL Classification: 

Pages: 2-5

The article offers a model of management of diversified portfolio of assets of a bank on the basis of the analysis of migration of portfolios and definition of target reference points on ROA indicator. The developed model assumes that the planning phase in the cumulative portfolio of assets of a bank will include different sub-portfolios providing the maximum current yield (their ROA should be higher of given ROA for a bank), security (ROA - at the level of a bank) and liquidity (their ROA, perhaps, is less than the average ROA for a bank). Thus, each individual portfolio, as part of the cumulative portfolio of assets and fulfilling different functions in order to ensure profitability, liquidity and security, will make a different contribution to the ROA for a bank, but thus their combination must ensure its the specified targeted value.

Keywords: management model, diversified portfolio, bank assets, indicator, asset profit margin, ROA, migration analysis, bank concept, portfolio, interdependence, active and passive bank operations

References:

1. Il'yasov S.M. Upravlenie aktivami i passivami banka [Bank’s assets and liability management]. Den'gi i kredit – Money and credit, 2000, no. 5, pp. 24.
2. Nikonova I.A., Shamgunov R.N. Strategiya i stoimost' kommercheskogo banka [Strategy and cost of a commercial bank]. Moscow, Al’pina Business Buks Publ., 2007.
3. Trifonov D.A. Metodologiya i mekhanizmy portfel'nogo upravleniya v kommercheskom banke [The methodology and mechanisms for portfolio management in a commercial bank]. Saratov, SSSEU Publ., 2011.

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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