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An optimization scenario methodology for bank asset liability management

Kosmidou, Kyriaki, Zopounidis Konstantinos

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Extent9 pagesen
TitleAn optimization scenario methodology for bank asset liability managementen
CreatorKosmidou, Kyriakien
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
PublisherSpringer Verlagen
Content SummaryAsset-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 ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Date of Item2015-11-07-
Date of Publication2002-
SubjectAsset and liability managementen
Subjectbanking en
Subjectgoal programmingen
Bibliographic CitationK. 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/BF02936331en