Drozd A. Modelling of loan-deposit activity of commercial bank considering not in-time loans returns.

The dissertation describes how to determine the optimal volumes of loans and deposits, the corresponding credit and deposit rates of commercial banks that maximize the bank's capital at the end of control period. To solve this problem we used a bank model in which deposits and loans are presented as cash flows that depend on the credit and deposit rates accordingly. We presented a description of the model and the list of assumptions on which the model is based. Using the model, the problem of capital maximization with the credit and deposit rates management was formulated. To solve the problem we carried out numerical simulations and found that the best loan and deposit rates depend on the bank's capital at beginning of control period, on parameters of demand for loans function and deposits supply function, on duration of control period, on delay of returns of loans and deposits, on the difference between the delay of returns of loans and deposits, on credit and deposit rates and volumes of loans and deposits at the start of control period, on scheme of repayment. As a result of numerical simulation were received the optimal loan and deposit rates, was made a comparison of results with the results of the bank for a certain period. We received the results, that using of optimal pricing (optimal a priori rates or optimal adaptive rates), the bank would have capital of the bank at the end of control period 4% more than had in reality. Based on this result, to maximize the bank's capital at end of control period, and to reduce the risk of liquidity loss it is recommended to use models that are taking into account the delay in returning of loans and to use optimal adaptive rates.