文章基本信息

标题：ASSETS AND LIABILITIES MANAGEMENT DURING THE CRISIS - A STUDY ON BANKS IN ROMANIA
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作者：GABAN LUCIAN ; RUS IONUT - MARIUS ; FETITA ALIN 等
期刊名称：Annals of the University of Oradea : Economic Science
印刷版ISSN：1222-569X
电子版ISSN：1582-5450
出版年度：2017
卷号：28
期号：1
页码：529-537
语种：German
出版社：University of Oradea
摘要：The main objective of this paper is to offer a review of assets-liabilities management models. The use of assets and liabilities management models has been rapidly developing since financial institutions require specific tools in order to minimize their risk exposure while maintaining a high level of profitability. Asset and liabilities management models were applied initially for companies and financial institutions but there are also models which can be applies within central banks or even at countries. Asset-liability management models are classified according to the period and variables specification in: single period static models, multi-period static models, single period stochastic models, multi-period stochastic models. Static models are deterministic models in which the variables are well defined and the links between the variables do not change during time. Dynamic models capture much better the financial market volatility, the correlations between assets classes and/or liabilities classes can change, also the variables used in these models can be described as probability functions with different values. The limits of static models are due to their inability to capture the dynamics of financial markets, the changes in the correlations between the various types of assets, also the treatment of the financial system is done in a purely deterministic system. The main disadvantage of dynamic models is their increasing complexity. There is a trade-off between model complexity and ease of use in the case of assets-liabilities models.