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

• Autorzy: Jerzy Michnik
• 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)

Słowa kluczowe

EN

Asset management; Financial risk management; Commercial banks; Interest rate risk; Debt management; Multiple criteria optimization

PL

Zarządzanie aktywami; Zarządzanie ryzykiem finansowym; Banki komercyjne; Ryzyko stopy procentowej; Zarządzanie długiem; Optymalizacja wielokryterialna

• Czasopismo: Multiple Criteria Decision Making / University of Economics in Katowice
• Rocznik: 2007
• Tom: 2
• Strony: 85--100

Twórcy

autor

Jerzy Michnik

• University of Economics in Katowice, Poland

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