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Institutional Repository [SANDBOX]
Technical University of Crete
Technical University of Crete
EN
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EL
| URI: | http://purl.tuc.gr/dl/dias/6BAAFA1B-B8F5-4F0B-9DF3-0730E63219C5 | ||
| Year | 2008 | ||
| Type of Item | Peer-Reviewed Journal Publication | ||
| License |
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| Bibliographic Citation | K. Kosmidou, and C. Zopounidis, "Generating interest rate scenarios for bank asset liability management", Optimizat. Lett., vol. 2, no. 2, pp. 157-169, Mar. 2008. doi:10.1007/s11590-007-0050-9 https://doi.org/10.1007/s11590-007-0050-9 | ||
| Appears in Collections |
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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