نوع مقاله : مقاله پژوهشی
نویسنده
عضو هیات علمی پژوهشکده پولی و بانکی
کلیدواژهها
عنوان مقاله English
نویسنده English
Asset and liability management plays an important role in the banking and financial industry. Without managing asset and liability, any bank or financial industry is subject to bankruptcy. Therefore, in order to survive as a bank in the banking industry, analysis of asset and liability management and its costing measure helps to measure the value at risk for banks. Measuring the cost of asset and liability management helps not only minimize the risk but also achieve the financial goals of a bank. But this cost can be affected by changes in macroeconomic variables. Therefore, it is necessary to measure this cost for a bank to control it. In this paper, using the existing theoretical and empirical literature, and applying a DSGE model, the impact of macroeconomic variables on asset and liability management is modeled. The kernel distribution function is used to extract the critical threshold of the target macro variables. This function allows the researcher to determine the thresholds according to related variables trend behavior. The results of the survey show that in a recession along with a decline in GDP, asset and liability management costs are rising more than those when the price index and volume increases.
کلیدواژهها English
