Approach to the management of the deposit portfolio commercial bank

Abstract

In this paper we propose an approach to the commercial bank deposits management as a way to manage interest rate risk and liquidity risk at the level of banking products. To identify and assess the risks of the deposit portfolio introduces the model of "Signal system". After the signal to deposit portfolio revision has been received,  in the “System of deposit life-cycle management” are being simulated conditions of new deposit products based on the model of stochastic Galton-Watson processes, as well as being solved the problem of strategic changes in the deposit portfolio. After the  deposit portfolio is being formed, accumulated funds are being allocated in the bank's assets, maximizing its profitability index in the “System of funds allocation”.