Tovkach V. Modeling and managing the commercial bank's financial instruments portfolio

The Dissertation contains the results of the conceptual provisions and tools of mathematical modeling of the commercial bank's financial investments portfolio. In particular, a mathematical economic models' complex to optimize commercial bank's financial investment portfolios (commercial, for sale and to maturity) was developed. This models' complex takes into account such things as the expected return of the portfolio, the degree of aggregate portfolio risk and liquidity level, the impact of bank investments in securities for major performance standards, bank regulatory capital, the reserve amount that should be formatted by bank for its investments in securities. Optimization of commercial banks' portfolios is done by using multiobjective optimization methods that can improve the simulation results' quality.