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Technical University of Crete
Technical University of Crete
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| URI: | http://purl.tuc.gr/dl/dias/E5026EAF-1AE0-4191-8E2B-649B78E28BCE | ||
| Year | 2002 | ||
| Type of Item | Peer-Reviewed Journal Publication | ||
| License |
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| Bibliographic Citation | K. Kosmidou, and C. Zopounidis, "An optimization scenario methodology for bank asset liability management", Operat. Res., vol. 2, no. 2, pp. 279-287, May 2002. doi:10.1007/BF02936331 https://doi.org/10.1007/BF02936331 | ||
| Appears in Collections |
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 maintenance of a desirable level of liquidity and solvency, the expansion of deposits and loans. The model is verified using data from a large commercial bank of Greece over the period 1999.
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