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Michnik Jerzy (University of Economics in Katowice, Poland)
Multi-Criteria Modeling of Integrated Asset & Liability Management in a Commercial Bank
Multiple Criteria Decision Making / University of Economics in Katowice, 2007, vol. 2, s. 85-100, tab., bibliogr. 13 poz.
Zarządzanie aktywami, Zarządzanie ryzykiem finansowym, Banki komercyjne, Ryzyko stopy procentowej, Zarządzanie długiem, Optymalizacja wielokryterialna
Asset management, Financial risk management, Commercial banks, Interest rate risk, Debt management, Multiple criteria optimization
summ., Korespondencja z redakcją: numeracja wpisana za zgodą redakcji (wynika z ciągłości wydawniczej serii MCDM) - brak numeracji na stronie tytułowej
One of the most important category of risk banks face is the financial risk. Asset & Liability Management (ALM) is a set of techniques used to manage financial risk. Growing instability in the financial world made ALM a great challenge for both researchers and practitioners. A basic structure of the ALM model, based on the anticipated cash flows, is constructed. It comprises the main financial risks: interest rate, foreign exchange, liquidity and capital risk. The illustration models which are set up in a framework of the linear programming, deterministic or stochastic, are presented. The simplified cases with simulated data, illustrating the activity of a commercial bank in Poland, are solved with the aid of interactive goal programming. (original abstract)
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