ارائه مدل بهینه‌سازی سناریو محور جهت پرتفوی تسهیلات بانکی در شرایط عدم قطعیت با رویکرد استوار مالوی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری حسابداری، واحد چالوس، دانشگاه آزاد اسلامی، مازندران، ایران.

2 استادیار، گروه حسابداری، واحد چالوس، دانشگاه آزاد اسلامی، مازندران، ایران.

چکیده

بانک‌ها برای حفظ تعادل گردش پول بین اعتباردهندگان و دریافت‌کنندگان وام باید از یک اکوسیستم مالی مناسب استفاده کنند. هنگامی‌که این جریان توسط NPL (مطالبات غیرجاری) کند و یا مختل شود، در روند حیات بانک‌ها و اجرای سیاست‌های اقتصادی کشور آسیب جدی ایجاد می‌کند. مدیریت ضعیف و انعطاف پذیری در پرداخت و بازپرداخت تسهیلات عامل و محرک NPL‌‍‌ها است. هدف از پژوهش حاضر ارائه مدلی برای بهینه‌سازی پرتفوی تسهیلات بانکی در شرایط عدم قطعیت است، از یک مدل استوار سناریو محور بر اساس رویکرد مالوی و همکاران (1995) که جهت عدم قطعیت از عوامل اقتصادی مانند ریسک سیستماتیک، نرخ ارز، تورم استفاده شده است. این مدل دارای سه تابع هدف بوده تابع هدف اول افزایش بازده بانک‌ها از طریق افزایش تسهیلات جاری، تابع هدف دوم کاهش ریسک اعتباری و تابع هدف سوم کاهش ریسک ورشکستگی براساس نسبت‌‍‌های مالی آلتمن می‌باشد که داده‌‍‌ها با استفاده از نرم افزار GAMS مورد تجریه و تحلیل قرار گرفته است. با استفاده از این مدل مدیران بانک‌ها براساس وضعیت و استحکام هریک از انواع تسهیلات در شرایط عادی و عدم قطعیت می‌توانند تصمیم‌گیری صحیحی جهت پرداخت میزان مشخصی از هر نوع تسهیلات با توجه به مرز بهینه داشته باشد که سبب کاهش ریسک اعتباری و ورشکستگی بانک‌ها می‌گردد. همچنین نتایج نشان دهنده این است که به ترتیب ریسک سیستماتیک، نرخ تورم و نرخ ارز دارای بیشترین تاثیر بر کاهش کیفیت تسهیلات می‌باشند.

کلیدواژه‌ها

عنوان مقاله [English]

Presentation of a scenario-based optimization model for bank loan portfolio under conditions of uncertainty based on robust Mulvey's approach

نویسندگان [English]

  • Mohadese Kouchaki Tajani 1
  • Reza Fallah 2
  • Mehdi Maranjory 2
  • Razieh Alikhani 2
1 Ph.D. Student in Accounting, Chalus Branch, Islamic Azad University, Mazandaran, Iran.
2 Assistant Prof, Department of Accounting, Chalous Branch, Islamic Azad University, Mazandaran, Iran.
چکیده [English]

In order to maintain the balance of cash flow between lenders and borrowers, banks have to use a financially appropriate ecosystem. When such a flow is rebated and or disrupted by non-performing loans (NPLs), life trends of banks and implementation of national economic policies are damaged seriously. Mis management and flexibility in lending and repaying off a loans are considered a drive force of NPLs.The aim of present research is to present a model for the optimization of bank loans portfolio under conditions of uncertainty, which is based on the robust scenario-based approach developed by Mulvey et al. uncertainty criteria set in this study include such economic factors as exchange rates, inflation, and systematic risks. This model has three objective functions: (1) increasing the returns of banks by increasing current loan, (2) decreasing the credit risk, and (3) mitigating the risk of bankruptcy based on Altman Financial Ratios, which are analyzed by using GAMS software. Using this model, bank managers based on the status and strength of each type of loan under normal circumstances and uncertainty can make the right decision to pay a certain amount of each type of loan according to the optimal limit, which reduces the credit risk and bankruptcy of the bank. The results also show that respectively systematic risk, inflation rate and exchange rate have the greatest impact on loan quality reduction.

کلیدواژه‌ها [English]

  • Bank loans
  • Multi-objective optimization
  • Uncertainty conditions
  • Non-current loans
  • Overdue receivables

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چشم انداز مدیریت مالی
دوره 11، شماره 35
آذر 1400
صفحه 67-90

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