Bank asset and liability management under uncertainty
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Publication:1290714
DOI10.1016/S0377-2217(96)00241-XzbMATH Open0955.90044MaRDI QIDQ1290714FDOQ1290714
Authors: Cemal Berk Oğuzsoy, Sibel Güven 
Publication date: 22 February 2001
Published in: European Journal of Operational Research (Search for Journal in Brave)
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- Risk‐based Decisions on the Asset Structure of a Bank under Partial Economic Information
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- Optimizing asset and capital adequacy management in banking
- Bank management via stochastic optimal control
- Some problems of mathematical modelling in the management of bank assets
Cites Work
- Two-Period Stochastic Programs with Simple Recourse
- Short Term Financial Planning under Uncertainty
- Stochastic Network Programming for Financial Planning Problems
- Stochastic network optimization models for investment planning
- Bank asset and liability management under uncertainty
- Solving stochastic programs with simple recourse
- Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
- Three Asset Cash Balance and Dynamic Portfolio Problems
- Programming under uncertainty: The complete problem
- Solving discrete stochastic linear programs with simple recourse by the dualplex algorithm
Cited In (23)
- An asset-liability management stochastic program of a leasing company.
- Bank asset and liability management under uncertainty
- A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision
- High-Performance Computing for Asset-Liability Management
- A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
- Management of non-maturing deposits by multistage stochastic programming
- Asset and liability risk management in financial markets
- A robust asset and liability management model with empirical analysis
- Dynamic replication of non-maturing assets and liabilities
- On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty
- Segmented dynamic optimization model for asset-liability management of commercial banks and its applications
- LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications
- Generating interest rate scenarios for bank asset liability management
- Stochastic optimization in asset \& liability management: A model for non-maturing accounts
- Title not available (Why is that?)
- Asset and liability management: Recent advances
- Goal programming techniques for bank asset liability management.
- Asset/liability management under uncertainty for fixed-income securities
- Risk‐based Decisions on the Asset Structure of a Bank under Partial Economic Information
- A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
- Title not available (Why is that?)
- Evolving economy bank asset‐liability and risk management under uncertainty with hierarchical objectives and nonlinear pricing
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