MCDM'06 - paper no. 4
Multi-criteria modeling of integrated asset & liability management in a commercial bank
Jerzy Michnik
Abstract:
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.
Keywords:
financial risk management, asset & liability management, commercial banking, multiple criteria decision making, interactive goal programming, stochastic programming
Reference index:
Jerzy Michnik, (2007), Multi-criteria modeling of integrated asset & liability management in a commercial bank, Multiple Criteria Decision Making (2), pp. 85-100
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