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| Tekijä: | Kusy, M. I. Ziemba, W. T. |
| Otsikko: | A bank asset and liability management model. |
| Lehti: | Operations Research
1986 : MAY-JUN, VOL. 34:3, p. 356-376 |
| Asiasana: | BANKING FINANCIAL MODELS STOCHASTIC PROCESSES |
| Kieli: | eng |
| Tiivistelmä: | A multiperiod stochastic linear programming model (ALM) that includes the essential institutional legal, financial and bank-related policy considerations and their uncertainties, yet is computationally tractable for realistically sized problems is discussed. A version of the model was developed for the Vancouver City Savings Credit Union for a 5-year planning period. It is indicated that ALM is theoretically and operationally superior to a corresponding deterministic linear programming model,and that the effort required for the implementation of ALM and its computational requirements are comparable to those of the deterministic model. |
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