Optimal control of bank investment as a factorof economic stability

This paper presents a model of replenishment of bank liquidity by additional income of banks. Given the methodological basis for the necessity for bank stabilization funds to cover losses during the economy crisis. An econometric derivation of the equations describing the behavior of the bank financ...

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Veröffentlicht in:Kompʹûternye issledovaniâ i modelirovanie (Online) 2012-12, Vol.4 (4), p.959-967
Hauptverfasser: Shatrov, A. V., Okhapkin, V. P.
Format: Artikel
Sprache:eng ; rus
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Zusammenfassung:This paper presents a model of replenishment of bank liquidity by additional income of banks. Given the methodological basis for the necessity for bank stabilization funds to cover losses during the economy crisis. An econometric derivation of the equations describing the behavior of the bank financial and operating activity performed. In accordance with the purpose of creating a stabilization fund introduces an optimality criterion used controls. Based on the equations of the behavior of the bank by the method of dynamic programming is derived a vector of optimal controls.
ISSN:2076-7633
2077-6853
DOI:10.20537/2076-7633-2012-4-4-959-967