This paper is concerned with the construction of a mathematical optimization model that helps to choose the categories of assets and liabilities that will form the balance sheet of a bank in future periods. The mathematical model herein represents a decision model for bank managers. In its assumptions, it considers the necessity of a structural planning, in which there some alternatives have to be chosen to provide a better economic return. In addition, it also considers the necessity of meeting the constraints of a bank's operational environment: politics established by the Company regarding risk and liquidity, the accounting relations in the balance sheet from each period in the planning scope, the regulatory requirements defined by banking regulators, as well as the restrictions on acceptable volumes of trade. The major constraint in the model is the capital adequacy towards the coverage of portfolio risks.This aspect is considered not only from the regulators' perspective, which provides a formula to calculate the capital requirements, but also from the managers' perspective, represented by a suggested statistical model to measure risk. The present mathematical model is considered to be a non-linear programming, multi-periodic and probabilistic one.
Bank accounting; balance sheet - mathematical models; risk control
