Selection of an optimal loan and deposit portfolio based on the bank's parametric model

The growth in the profitability of banking operations and the expansion of bank lending to retail and corporate borrowers require the improvement of the theory and practice of assessing the external and internal risks of a banking organization and the selection of standards governing its lending and deposit activities. As a completely original toolkit for solving this problem, the paper presents the concept of parametric modeling of an optimal bank portfolio of deposits and loans. It is proposed to select those that are in the field regulated by the bank’s management as controlled parameters of the bank portfolio: reserves, liquidity levels, interest rates, credit risk of the portfolio and some others. Given the influence of the parameters on the structure and composition of the bank portfolio, it is proposed to choose on the basis of empirical calculations such a combination that would allow to increase its profitability while observing the restrictions defined using these parameters. The paper presents the results of choosing the optimal option for lending and depositing activities of a universal commercial bank of medium capital size (close in characteristics to Promsvyazbank CB), obtained on the basis of calculations by the parametric model, which demonstrated the adequacy of the proposed approach and the model of lending and investment practice of a modern Russian bank.