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Liczba wyników
2007 | 2 | 85--100
Tytuł artykułu

Multi-Criteria Modeling of Integrated Asset & Liability Management in a Commercial Bank

Autorzy
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
One of the most important category of risk banks face is the financial risk. Asset & Liability Management (ALM) is a set of techniques used to manage financial risk. Growing instability in the financial world made ALM a great challenge for both researchers and practitioners. A basic structure of the ALM model, based on the anticipated cash flows, is constructed. It comprises the main financial risks: interest rate, foreign exchange, liquidity and capital risk. The illustration models which are set up in a framework of the linear programming, deterministic or stochastic, are presented. The simplified cases with simulated data, illustrating the activity of a commercial bank in Poland, are solved with the aid of interactive goal programming. (original abstract)
Rocznik
Tom
2
Strony
85--100
Opis fizyczny
Twórcy
  • University of Economics in Katowice, Poland
Bibliografia
  • Bessis J.: Risk Management in Banking. J. Wiley & Sons, Chichester 1998.
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  • Giokas D., Vassiloglou M.: A goal programming model for bank assets and liabilities management. "European Journal of Operational Research" 1991, 50, pp. 48-60.
  • Heras A., Aguado A.G.: Stochastic Goal Programming. "Central European Journal of Operations Research" 1999, 7, No 3, pp. 139-158.
  • Kall P., Wallace S.W.: Stochastic Programming. J. Wiley & Sons, Chichester 1994.
  • Korhonen A.: A dynamic bank portfolio planning model with multiple scenarios, multiple goals and changing priorities. "European Journal of Operational Research" 1987, 30, pp. 13-23.
  • RiskMetrics-Technical Document (J.P. Morgan/Reuters). Fourth Edition, New York 1996.
  • Rockafellar R.T., Uryasev S.: Optimization of conditional value-at-risk. "Journal of Banking & Finance" 2002, 26.
  • Santomero A.: Commercial Bank Risk Management: An Analysis of the Process. "Journal of Financial Services Research" 1997, 12, 2/3, pp. 83-115.
  • Spronk J.: Interactive Multiple Goal Programming for Capital Budgeting and Financial Planning. Martinus Nijhoff, Boston 1981.
  • Szegö G.: Measures of risk. "Journal of Banking & Finance" 2002, 26, pp. 1253- 1272.
  • Uyemura D.G., Van Deventer D.R.: Risk Management in Banking - The Theory & Application of Asset & Liability Management, Bankers Publishing Company, Probus Publishing Company: Chicago 1993.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171283055

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