Weighted Coefficient Model for Bank Investment Portfolio Optimization

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WEIGHTED COEFFICIENT MODEL FOR BANK

INVESTMENT PORTFOLIO OPTIMIZATION

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.H\ZRUGV financial flexibility, institutional flexibility, market flexibility,

managerial flexibility, investment strategy.

1. Introduction

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2. State of the art

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Types of financial flexibility of the decision making in the bank’s investment activity

M a rk et fl ex ib il it y

The flexibility which is determined by systematic market factors: the liquidity of the stock market; the interest rate level; foreign currency exchange; WKHOLTXLGLW\RIWKHPRQHWDU\PDUNHWPDUNHWVSUHDGV\VWHPDWLFPDUNHWULVN

The flexibility which is determined by formal institutional constraints: uQLYHUVDOUHVWULFWLRQIRUDOOVWRFNPDUNHWSDUWLFLSDQWV

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The flexibility which is determined by informal institutional constraints:

distrust of the national currency; low level of financial culture of the population; existence of the conflict of interest; the existence of corruption; lack of transparency of activities of issuers and professional stock market participants; limited and election participants’ access to information LQIRUPDWLRQDV\PPHWU\ the absence of law-abiding institution

The flexibility which is determined by the specific market factors: kind of securities and peculiarities of their treatment; concentration of ownership in the issuing company; the financial condition of the issuer; size of the issuing company; development prospects of the issuing company

In st it u ti o n a l fl ex ib il it y M a n a g er ia l fl ex ib il it y

The flexibility which is determined by the level of internal transaction costs:

the costs of obtaining information; the costs of laying and service implementation agreements; the costs of monitoring and control of administrative flexibility

The flexibility which is determined by the stage of decision-making

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MECHANISMOF PROVIDING FINANCIAL FLEXIBILITY OF THE DECISION MAKING IN THE BANK’S INVESTMENT ACTIVITY

The choice of investment strategy based on institutional flexibility

of decision-making

Evaluation and regulation of managerial flexibility

of decision making Optimization of bank investment

portfolio taking into account market flexibility

EFFECTIVENESS CRITERION

RESULT: creates preconditions to ensure the profitability of investment banking activities while increasing the opportunities

realization of emerging prospects based on optimization of financial flexibility making decisions on its market, institutional and managerial components

Effectiveness Reliability

Systemness Dynamism

Stability Unity of strategies

Liquidity Diversification Adequacy PRINCIPLES Financial stability Effectiveness (result Alternativeness

TASKS OF PROVIDING FINANCIAL FLEXIBILITY OF THE DECISION MAKING IN THE BANK’S INVESTMENT ACTIVITY

Definition of strategies and tactics to ensure financial flexibility

in decision-making

Formation of optimal structure and composition of the investment

portfolio of the bank

Minimizing the negative impact of certain factors that affect the performance of investment activities

THE AIM: protection of the real value of bank equity capital from the impact of investment risks based financial flexibility

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THE AIM: optimization of the investment portfolio taking into account market

flexibility of the decision making in the bank’s investment activity The choice of the types of securities in the investment portfolio of the bank

Definition of limitations optimization model

On investment potential of the bank

On correlation of profitableness of securities

On the level of risk

Modelling of optimal structure of the investment portfolio taking into account profitableness and risk

Calculation of coefficients of the market flexibility

Formation of optimal structure of portfolio by value of securities taking into account market flexibility of the decision making in the bank’s investment activity Making managerial decision in the investment activities of banks depending on the

obtained parameters 1 2 3 4 5 6 )LJXUH6FLHQWLILFDQGPHWKRGLFDODSSURDFKWRWKHRSWLPL]DWLRQRIWKHLQ YHVWPHQWSRUWIROLRWDNLQJLQWRDFFRXQWPDUNHWIOH[LELOLW\RIWKHGHFLVLRQPDN LQJLQWKHEDQNqVLQYHVWPHQWDFWLYLW\ ,QRUGHUWRRUJDQL]HDQGDGPLQLVWUDWHLQYHVWPHQWSURFHVVHVLQWKHEDQNZH LPSURYHGVFLHQWLILFDQGPHWKRGLFDODSSURDFKWRWKHHYDOXDWLRQDQGUHJXODWLRQ RI PDQDJHULDO IOH[LELOLW\ RI WKH GHFLVLRQ PDNLQJ LQ WKH EDQNqV LQYHVWPHQW DFWLYLW\ WDNLQJ LQWR DFFRXQW LQGLFDWRUV ZKLFK DUH HOHFWHG IURP D SRVLWLRQ HYDOXDWLRQVWUXFWXUHTXDOLW\DQGTXDQWLW\RIWKHVXEV\VWHPRIDGPLQLVWUDWLRQ RIWKHEDQN7DEOH 3URSRVHGV\VWHPRILQGLFDWRUVFDQEHFRQVLGHUHGDVLQGLFDWRUVRIHYDOXDWLRQ DQGUHJXODWLRQRIPDQDJHULDOIOH[LELOLW\RIWKHGHFLVLRQPDNLQJLQWKHEDQNqV LQYHVWPHQWDFWLYLW\+RZHYHUFRQVLGHULQJWKHIDFWWKDWLWKDVPXOWLGLUHFWLRQDO LPSDFWRQPDQDJHULDOIOH[LELOLW\RIWKHGHFLVLRQPDNLQJLQWKHEDQNqVLQYHVWPHQW DFWLYLW\LWLVDGYLVDEOHWRLQWHJUDWHWKHPLQWKHJHQHUDOLQGLFDWRU

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Indicators of managerial flexibility of the decision making

Stimulants and destimulants of flexibility of the decision making

The threshold values

Quantitative and qualitative of composition bank staff

The coefficient of quality of personnel potentialK_KP

+  

KP

K

 d

The coefficient increase of level qualifications of personnelK_PK

+  

PK

K

 d

The coefficient of provision of human resourcesK_OK

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OK K

 d

The coefficient of stability of personnel

KSK

+  

SK

K

 d

The coefficient of personnel turnover

KTK – KTKd The degree of centralization or decentralization of the bank

The coefficient of centralization of functional management structureK_CS

– K_CSd

The coefficient of functional specializationK_FS

+  

FS

K

 d

The coefficient of concentration of management functionsK_KF

– K_KFd

Type of organizational structure of the bank

The coefficient of structural tension

KSN

– K_SNd

The coefficient of operational work of the administrative apparatus K_OR

+ 

OR

K d

The importance and the number of the decision making in the bank

The coefficient of effectiveness of implementation of decisions(  ER K + _ d_ ER K

The degree of control over the processes in

the bank

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