| Abstract [eng] |
The problem of asset – liability management (ALM) has been topical since the origin of banking. The processes of globalization and internationalization in financial markets in the twenty first century made this problem sharper than ever before, that make banks search more efficient ways of management of their asset and liabilities portfolios. The aim of this master work is to analyse the problem of ALM in commercial bank and evaluate the performance ALM in three Lithuanian banks. In order to analyse ALM problem different scientists approaches to ALM were analysed in this research in order to define the ALM conception. Also the importance of ALM was underlined from the point of view both of central bank and commercial bank and the development of ALM was viewed. The most popular models of ALM were analysed – GAP analysis, Duration GAP, VaR and Monte Carlo. Then the effectiveness of performance of ALM was evaluated in three Lithuanian banks, choosing the big one, the medium one and the small one. In order to analyse the effectiveness of performance of ALM in the chosen banks the GAP analysis was made, the execution of central bank’s compulsory normative rates was evaluated and the rates of liquidity and profitability were counted and analysed. The analysis pointed out, that there is an obvious relation between the size of the bank and the way it’s ALM is performed. The tendencies are these: smaller banks keep bigger amounts of liquid assets, because that they have lower possibilities of borrowing, the loan portfolios of such banks are smaller, that’s way they are not so efficient at converting their deposits to loans. All these factors determine lower rates of profitability, lower rates on return on assets and return on equity. So the analysis showed that the most effective performance of ALM is in the biggest of the free chosen banks – “Hansabankas”. The liquidity and profitability rates in this bank are the most stable and showing the increasing effectiveness – the risk level is decreasing, the liquidity level is stable and sufficient, showing the effectively used assets, and the profitability rates are increasing. The smallest of the chosen banks – “Ūkio” bank showed to be the most unstable, some indicators showed increasing risk, the profitability rates were diminishing. |
