An optimization scenario methodology for bank asset liability management
Abstract
Asset-liability management is one of the most important issues in bank strategic planning. This study presents an ALM methodology in a stochastic interest-rate environment. The intention is to develop an optimization tool for interest rate scenarios and to determine the optimal balance among profitability, risk, liquidity and other uncertainties by considering several goals, such as the maximization of returns, the minimization of risk, the...
Paper Details
Title
An optimization scenario methodology for bank asset liability management
Published Date
May 1, 2002
Journal
Volume
2
Issue
2
Pages
279 - 287
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