Dynamic balance sheet model with liquidity risk

DOI10.1142/S0219024916500527zbMATH Open1396.91688OpenAlexW3124603331MaRDI QIDQ2836216FDOQ2836216

Authors: Grzegorz Hałaj 

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500527

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zbMATH Keywords

bankingoptimal portfolioasset structure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Financial asset-pricing theory and stochastic programming models for asset/liability management: A synthesis
• Dynamic stochastic programming for asset-liability management
• A stochastic programming model for asset liability management of a Finnish pension company
• Mathematical methods for finance. Tools for asset and risk management

Cited In (7)

• The performance of bank portfolio optimization
• Integrated bank risk modeling: a bottom-up statistical framework
• Bank liquidity and the global financial crisis
• Optimal intermediated investment in a liquidity-driven cycle
• Risk-based capital requirements and optimal liquidation in a stress scenario
• Panel data modeling of bank deposits
• A banking firm model: the role of market, liquidity and credit risks

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