Institutional Repository
Technical University of Crete
Technical University of Crete
EN
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EL
| URI | http://purl.tuc.gr/dl/dias/E5026EAF-1AE0-4191-8E2B-649B78E28BCE | - |
| Identifier | http://link.springer.com/article/10.1007%2FBF02936331 | - |
| Identifier | https://doi.org/10.1007/BF02936331 | - |
| Language | en | - |
| Extent | 9 pages | en |
| Title | An optimization scenario methodology for bank asset liability management | en |
| Creator | Kosmidou, Kyriaki | en |
| Creator | Zopounidis Konstantinos | en |
| Creator | Ζοπουνιδης Κωνσταντινος | el |
| Publisher | Springer Verlag | en |
| Content Summary | 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. | en |
| Type of Item | Peer-Reviewed Journal Publication | en |
| Type of Item | Δημοσίευση σε Περιοδικό με Κριτές | el |
| License | http://creativecommons.org/licenses/by/4.0/ | en |
| Date of Item | 2015-11-07 | - |
| Date of Publication | 2002 | - |
| Subject | Asset and liability management | en |
| Subject | banking | en |
| Subject | optimization | en |
| Subject | goal programming | en |
| 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 | en |
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