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Generating interest rate scenarios for bank asset liability management

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Abstract

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.

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Author notes

  1. Kyriaki Kosmidou

    Present address: , Kirillou 2 and Drosias, 15238, Chalandri - Patima, Athens

Authors and Affiliations

  1. Department of Production Engineering and Management, Financial Engineering Laboratory, Technical University of Crete, University Campus, 73100, Chania, Greece

    Kyriaki Kosmidou & Constantin Zopounidis

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  1. Kyriaki Kosmidou
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  2. Constantin Zopounidis
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Correspondence to Kyriaki Kosmidou.

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Kosmidou, K., Zopounidis, C. Generating interest rate scenarios for bank asset liability management. Optimization Letters 2, 157–169 (2008). https://doi.org/10.1007/s11590-007-0050-9

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