Generating interest rate scenarios for bank asset liability management
- Kosmidou, Kyriaki(http://viaf.org/viaf/46159555)
- Ζοπουνιδης Κωνσταντινος(http://users.isc.tuc.gr/~kzopounidis)
- Zopounidis Konstantinos(http://users.isc.tuc.gr/~kzopounidis)
DOI Publisher
Springer Science and Business Media LLCAbstract
Summarization: Over the last years the Second European Directive on Banking and Financial services demand that financial institutions develop asset liability management tools to identify and measure the various financial risks they encounter. The present paper develops a goal programming ALM model with a simulation analysis, to assist a commercial bank in managing its exposure to interest rate risk taking into account a duration gap framework. An application of the ALM model takes place on a large commercial bank of Greece.Presented on: Optimization Letter
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