Investigation of Asset/Liability Structure of the Alpha Commercial Bank: A Canonical Correlation Analysis Approach

Faraji, Ali; Nazarian, Rafik

doi:10.22034/jifb.2020.204381.1154

Investigation of Asset/Liability Structure of the Alpha Commercial Bank: A Canonical Correlation Analysis Approach

Document Type : Original Article

Authors

Ali Faraji ¹

Rafik Nazarian ²

¹ M.A., Department of Banking, Iran Banking Institute, Tehran, Iran

² Assistant Prof., Department of Economics, Faculty of Management and Accounting, Islamic Azad University, Central Tehran Branch, Tehran, Iran

https://doi.org/10.22034/jifb.2020.204381.1154

Abstract

Asset-liability management has led banks to optimize the balance between profitability, risk, liquidity, and other uncertainties. An optimal balance between these factors would not be possible without recognizing the importance of the interrelationship between the debt structure and the bank capital and combination of assets. This study examines the asset/ liability correlation structure of the Alpha Bank during the period beginning in April 2014 and ending in March 2016 at a monthly level. To apply this approach, the two sides of the Alpha Bank balance sheet were divided into six categories based on interest rate risk (period of one-year perspective). The results of data analysis show that there is a high correlation between the assets and liability structure of the Alpha Bank during the period under investigation. Additionally, the maturity reconciliation was not done properly during this period.

Keywords

Asset and Liability Management

Asset/Liability Structure

Interest Rate Risk

Canonical Correlation Analysis