Presenting the asset and liability management model of the bank based on risk management using the systems dynamics approach

Banks, as an intermediary financial institution, have an important role in collecting people's savings and directing them towards productive activities. Hence, asset and liability management are very important for them and their depositors. Therefore, the purpose of this study is to design an asset and liability management model based on banking risk management, by identifying effective factors on balance sheet structure and other financial statements of the bank and systematic relationships between them,
The present study is a modeling and simulation study in the field of banking industry. It focuses on recognizing the parameters and variables of the assets and liabilities management system of banks on the one hand. Its purpose is to gain a deep understanding and a general view of bank asset and liability management systems, in order to examine and confirm the effectiveness of these systems with the help of causal explanations. In this study, using the systems dynamics approach, a dynamic model has been proposed to manage the assets and bank liabilities based on risk management. After constructing the model and performing the validation and sensitivity analysis steps, three scenarios were designed and analyzed using this model. The results showed that the adoption efficient measures to collect more deposits, especially long-term deposits, as well as increasing the quality of the bank's credit assets, if optimally allocated, can be effective in improving the bank's performance. Therefore, the use of system thinking and systems dynamics approach can help banks to optimally manage assets and liabilities.