haku: @author Bessler, W. / yhteensä: 4
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| Tekijä: | Booth, G. G. Bessler, W. Foote, W. G. |
| Otsikko: | Managing interest-rate risk in banking institutions. |
| Lehti: | European Journal of Operational Research
1989 : AUG 15, VOL. 41:3, p. 302-313 |
| Asiasana: | BANKING INTEREST RATES ASSETS AND LIABILITIES |
| Kieli: | eng |
| Tiivistelmä: | A multiperiod goal programming model is developed and employed to examine the normative effects of changing interest rates on the rearrangements of depository bank balance sheets and associated profits. A two-stage state preference framework allows a dynamic interpretation of the model's prescribed decisions as well as a natural incorporation of profit sensitivity to interest rate risk. The model includes on- and off-balance sheet decision variables. Experimental results indicate that constaining the latter decision can seriously curtail the bank's ability to achieve its profit objectives. |
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