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Dynamic Optimization Of Commercial Banks’ Liquidity Reserves (One Of Iranian Commercial Bank Case Studi)

Haddadi, Rooholah | 2009

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 39558 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Sepahvand, Mehrdad; Keshavarz Haddad, Gholamreza
  7. Abstract:
  8. Commercial banks have got an important role in our lives and every one can mention veriety functions for them. The more benefits can bring the more risks can couse as the old tradeoff between risk and return. One of the important risks that can bring about lots of problem for banking system is liquidity risk. Being not able to respond customers’ liquidity demand is named the liquidity risk. Banks keep some reserve in cental bank to respond other banks’ liquidity demands in payment system. Shortage of this reserve will cause customer and central bank punishments and penalties. Excess reserve on the other hand has opportunity cost. Hence an optimum amount of liquidity resrve must be held in cental bank. In this study I devided this problem in two modules. At first I predicted the parameters we need to know before going to optimization step; Net payments, Customers check issuing behavior as well as their deposit behavior. These series predicted by the help of econometric methods. I took advantages of ARFIMA, 2SLS and GARCH methods in estimation. Considering the first module results, in second module the optimization problem solved. Having a descrete objective function offered using the Bellman theory. This solution led to have a system of nonlinear equations. Hence, Newton algorithm was used as numerical method to obtain the variable optimum.

  9. Keywords:
  10. Liquidity Management ; Excess Reserves ; Commercial Banks ; Optimal Liquidity Reserves ; Real Time Gross Settlement (RTGS)Payment System

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