palmieri.egidio@spes.uniud.it
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(Supervisor Maurizio Polato)

Bank’s activity planning: a parametric approach to forecast balance sheet starting from supervisor’s indicators
Abstract:
Nowadays in the banking industry, there is a growing strengthening of supervisory indicators in order to guarantee a correct conduction of banking activities and financial system stability. This trend, driven by the need to adapt internal processes to the new regulatory framework, has led banks to develop a risk appetite framework (RAF) aiming at more conscious risk-taking decisions. It is evident that balance sheet is hugely affected by the risk appetite, defined in the RAF, and the limits derived from the Basel regulatory framework. The aim of this project is to create forecasting models, supporting banks’ balance sheet planning and budgeting activities. These models have to be able to calculate expected profits using supervisory indicators as parameters. Once the minimum level of each indicator is legal compliant, models will assess what is their optimal combination.The main objective that is expected to reach is to create a model that is compliant to the sectorial regulatory framework, integrating planning strategies and bank management theories, in order to support banks’ balance sheet forecasting and budgeting activities.