Mathematical modeling of commercial banks loan portfolio

Authors

  • A. Arakelyan Yerevan State University, Faculty of Economics
  • E. Hartenyan Yerevan State University, Faculty of Economics

Keywords:

Financial system, commercial banks, assets, liabilities, deposits, loans, modeling, Fourier-Series approximation, regression analyze, trigonometric functions, frequency analysis, trends, risk management

Abstract

In the research were considered the importance of financial system during the sustainable development of the county and the role of commercial banks in the financial system. Also were charged such models, which could help to reveal the connection between commercial bank’s assets and liabilities and to do the evaluation of loan portfolio. The research is applicable to any bank, it helps to manage banking risks and to contribute the financial system stability of country.

Author Biographies

A. Arakelyan, Yerevan State University, Faculty of Economics

Doctor of Technical Sciences, Professor

E. Hartenyan, Yerevan State University, Faculty of Economics

BA student

References

Banking, Bagrat Asatryan, Yerevan 2004

Formation of Optimal Credit Portfolio and Designing of Model of Creditworthiness Analysis, R.A. Avetisyan, A.S. Khachatryan, Yerevan 2001: RA National Academy of Sciences, Publishing “Gitutyun”, pp 72-73

Banking and Basics of Monetary Circulation/ part 1, R.A. Avetisyan, A.S. Khachatryan, SEUA, Yerevan 2005, pg.

Modeling Inflation and Money demand Using a Fourier-Series Approximation, Ralf Becker, Walter Enders and Stan Hurn, April 20,2005

www.conversebank.am

Basic Econometrics , Damodar N. Gujarati,United States Military Academy, West point, 4th edition

Spectral Analysis of Economic Time Series. C. W. J. Granger, M. Hatanaka, 1964 Princeton University Press, pp 62-67

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Issue

Vol. 1 (2013)

Section

Articles