Goal Programming Techniques for Bank Asset Liability Management

ISBN-13: 9781402081040 / Angielski / Twarda / 2004 / 166 str.

Kyriaki Kosmidou; C. Zopounidis; K. Kosmidou

Opis

Other publications that exist on this topic, are mainly focused on the general aspects and methodologies of the field and do not refer extensively to bank ALM. On the other hand the existing books on goal programming techniques do not involve the ALM problem and more specifically the bank ALM one. Therefore, there is a lack in the existing literature of a comprehensive text book that combines both the concepts of bank ALM and goal programming techniques and illustrates the contribution of goal programming techniques to bank ALM. This is the major contributing feature of this book and its distinguishing characteristic as opposed to the existing literature. This volume would be suitable for academics and practitioners in operations research, management scientists, financial managers, bank managers, economists and risk analysts. The book can also be used as a textbook for graduate courses of asset liability management, financial risk management and banking risks.

Spis treści

Preface 1: Introduction 1. Asset liability management 1.1 ALM model structure 1.1.1 Objective functions 1.1.1.1 The Von Neumann-Morgenstern theory 1.1.1.2 Classical utility functions 1.1.1.3 The Von Neumann-Morgenstern theory and utility functions 1.2 Asset management models 1.2.1 Stochastic programming 1.2.2 Decision rules 1.2.3 Capital growth 1.2.4 Stochastic control 1.2.5 Advantages and disadvantages of the four approaches 1.3 Applications of the asset liability management model 2. General characteristics of the banking institutions 2.1 The economic role of banking institutions 2.2 Management of commercial banks 2.3 Basic policies of commercial banks 2.3.1 The accumulation of capital 2.3.2 Loans 2.3.3 Liquidity 2.4 Economic statements 3. Uncertainty in the banking risk management 3.1 Risk of financial institutions 3.2 Evaluation and management risk techniques 4. The proposed methodological approach and the objective of the book 2: Review Of The Asset Liability Management Techniques 1. Asset liability management techniques 1.1 Deterministic models 1.1.1 Multiobjective linear programming model 1.2 Stochastic models 1.2.1 Chance constrained programming models 1.2.2 Sequential decision theoretic approach 1.2.3 Dynamic programming 1.2.4 Stochastic linear programming 1.2.5 Simulation models 1.2.6 Dynamic generalized networks Appendix: Asset liability management programming models 3: Bank Asset Liability Management Methodology 1. Objective of the research 2. Data 3. Multiobjective linear programming 3.1 Simple methods of multiobjective linear programming 3.1.1 Lexicographic optimisation 3.1.2 Global criterion method 3.1.3 Interactive procedures 3.1.4 Goal programming 3.1.4.1 Goal programming as an extension of linear programming 3.1.5 The optimisation role 3.1.6 Dominance analysis 3.1.7 Issues related to goal programming model formulation 3.1.7.1 Dominance, inferiority and efficiency in goal programming solutions 3.1.7.2 Naïve relative weighting, incommensurability, naïve prioritization and redundancy in goal programming model formulation 3.1.7.3 Other goal programming algorithms and methodology 4. Interest rate simulation analysis 4.1 Monte Carlo simulation 4: Application 1. Description of the sample data 2. Formulation of the problem 2.1 Constraints 2.2 Goals 2.3 Mathematical formulation 3. Post-optimality 4. Interest rate simulation analysis 5. Analysis of results 5.1 Sensitivity analysis to the priorities of goals 5.2 Forecasting analysis 6. Policy and strategy standards of the banks 5: Conclusions And Future Perspectives 1. Summary of main findings 2. Issues for further research References Subject Index