全球智库信息集成服务系统(G2TT): A Bank Asset and Liability Management Model.

G2TT

来源类型	Monograph (IIASA Collaborative Paper)
规范类型	论文
	A Bank Asset and Liability Management Model.
	Kusy MI; Ziemba WT
发表日期	1983
出版者	IIASA, Laxenburg, Austria: CP-83-059
出版年	1983
语种	英语
摘要	The uncertainty of a bank's cash flows, cost of funds and return on investments due to inherent factors and variable economic conditions has emphasized the need for greater efficiency in the management of asset and liabilities. A primary goal is to determine an optimal tradeoff between risk, return, and liquidity. In this paper we develop a multiperiod stochastic linear programming model (ALM) that includes the essential institutional, legal, financial, and bank related policy considerations, along with their uncertain aspects, yet is computationally tractable for realistic sized problems. A version of the model was developed for the Vancouver City Savings Credit Union for a five year planning period. The results indicate that ALM is theoretically and operationally superior to a corresponding deterministic linear programming model and the effort required for the implementation of ALM and the computational costs are comparable to those of the deterministic model. Moreover, the qualitative and quantitative characteristics of the solutions are sensitive to the stochastic elements of the model such as the asymmetry of the cash flow distributions. ALM was also compared with the stochastic decision tree (SDT) model developed by Bradley and Crane. ALM is more computationally tractable on realistic sized problems than SDT and simulation results indicate that ALM generates superior policies.
主题	Adaption and Optimization (ADO)
URL	http://pure.iiasa.ac.at/id/eprint/2323/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/122673
推荐引用方式 GB/T 7714	Kusy MI,Ziemba WT. A Bank Asset and Liability Management Model.. 1983.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
CP-83-059.pdf（1412KB）	智库出版物		限制开放	CC BY-NC-SA	浏览