Dynamic balance sheet model with liquidity risk

DOI10.1142/S0219024916500527MaRDI QIDQ2836216zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asset structurebankingoptimal portfolio

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

• Panel data modeling of bank deposits
• Integrated bank risk modeling: a bottom-up statistical framework
• A banking firm model: the role of market, liquidity and credit risks
• 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
• The performance of bank portfolio optimization

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