A Chance Constrained Approach To Bank Dynamic Balance Sheet Management
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A Chance Constrained Approach To Bank Dynamic Balance Sheet Management
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Author : Abraham Charnes
language : en
Publisher:
Release Date : 1982
A Chance Constrained Approach To Bank Dynamic Balance Sheet Management written by Abraham Charnes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Bank investments categories.
The dynamic balance sheet management model formulated deterministically by Chambers and Charnes was extended stochastically by Cohen and Thore to a two-stage LPU2 model. This paper develops a chance-constrained model which compares well with the Cohen and Thore example but in addition is easily extendable to formulations of realistic size, as the C-T model is not, and with the availability of dual evaluators. (Author).
Dynamic Balance Sheet Management Model For French Commercial Banks
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Author : Michel Albouy
language : en
Publisher:
Release Date : 1975
Dynamic Balance Sheet Management Model For French Commercial Banks written by Michel Albouy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975 with Bank management categories.
A Chance Constrained Approach To Rank Dynamic Balance Sheet Management
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Author : A. Charnes
language : en
Publisher:
Release Date : 1982
A Chance Constrained Approach To Rank Dynamic Balance Sheet Management written by A. Charnes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with categories.
Linear And Chance Constrained Programming In Bank Balance Sheet Management
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Author : Thomas Leachman Carter
language : en
Publisher:
Release Date : 1976
Linear And Chance Constrained Programming In Bank Balance Sheet Management written by Thomas Leachman Carter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Banks and banking categories.
Alm Modeling And Balance Sheet Optimization
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Author : Diogo Gobira
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2023-07-24
Alm Modeling And Balance Sheet Optimization written by Diogo Gobira and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-07-24 with Business & Economics categories.
ALM Modeling and Balance Sheet Optimization is a comprehensive book that combines theoretical exploration with practical guidance and code examples on implementing a balance sheet optimization model. The book emphasizes the use of stochastic dynamic programming to develop a deep and holistic understanding of the banking problem. Encompassing the entire implementation stack – spanning from data layers to the specification of decision variables, business and regulatory constraints, objective functions, modeling strategies, solving techniques, debugging, and reporting – this book serves as a comprehensive guide for constructing highly effective balance optimization models from scratch, enabling the maximization of banking outcomes. Readers will learn how to build a mathematical model capable of generating projections for portfolios; balance sheet, income and cash flow statements; capital, and risk measures in real-world scenarios. This practical approach is particularly valuable for professionals involved in integrated stress testing, capital adequacy assessment, financial planning, and optimization tasks. In essence, the book offers valuable insights into the challenges of balance sheet optimization, providing readers with the necessary tools to build their own dynamic and comprehensive ALM models.
Handbook Of Heavy Tailed Distributions In Finance
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Author : S.T Rachev
language : en
Publisher: Elsevier
Release Date : 2003-03-05
Handbook Of Heavy Tailed Distributions In Finance written by S.T Rachev and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-05 with Business & Economics categories.
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Technical Abstract Bulletin
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Author :
language : en
Publisher:
Release Date : 1982
Technical Abstract Bulletin written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Science categories.
Journal Of Banking Finance
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Author :
language : en
Publisher:
Release Date : 1997
Journal Of Banking Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Banks and banking categories.
Handbook Of Analytic Computational Methods In Applied Mathematics
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Author : George Anastassiou
language : en
Publisher: CRC Press
Release Date : 2019-06-03
Handbook Of Analytic Computational Methods In Applied Mathematics written by George Anastassiou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-03 with Mathematics categories.
Working computationally in applied mathematics is the very essence of dealing with real-world problems in science and engineering. Approximation theory-on the borderline between pure and applied mathematics- has always supplied some of the most innovative ideas, computational methods, and original approaches to many types of problems. The f
Goal Programming Techniques For Bank Asset Liability Management
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Author : Kyriaki Kosmidou
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-07-21
Goal Programming Techniques For Bank Asset Liability Management written by Kyriaki Kosmidou and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-21 with Business & Economics categories.
Other publications that exist on this topic, are mainly focused on the general aspects and methodologies of the field and do not refer extensively to bank ALM. On the other hand the existing books on goal programming techniques do not involve the ALM problem and more specifically the bank ALM one. Therefore, there is a lack in the existing literature of a comprehensive text book that combines both the concepts of bank ALM and goal programming techniques and illustrates the contribution of goal programming techniques to bank ALM. This is the major contributing feature of this book and its distinguishing characteristic as opposed to the existing literature. This volume would be suitable for academics and practitioners in operations research, management scientists, financial managers, bank managers, economists and risk analysts. The book can also be used as a textbook for graduate courses of asset liability management, financial risk management and banking risks.