Combining goal programming model with simulation analysis for bank Asset Liability Management

被引：1

作者：

Kosmidou, K ^{[1
]}

Zopounidis, C ^{[1
]}

机构：

[1] Tech Univ Crete, Dept Prod Engn & Management, Financial Engn Lab, Khania 73100, Greece

来源：

INFOR | 2004年 / 42卷 / 03期

关键词：

asset and liability management; banking; goal programming; optimization; simulation analysis;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The aim of this paper is to present an Asset Liability Management (ALM) technique, which combines a goal programming model with a simulation analysis to determine the balance sheet of a bank for the year 2000. To attain this goal, we analyzed the 1999 balance sheet of a Greek commercial bank facing conflicting goals such as returns, liquidity, solvency, and expansion of deposits and loans under uncertainty. An optimizer was embedded in a simulation model to obtain different optimal solutions for a set of interest rate scenarios, while a sensitivity analysis explored the effects of alterations in the order of goal priorities.

引用

页码：175 / 187

页数：13

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