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Treasury Mgt

Abstract :
The aim of this paper is to present an Asset Liability Management (ALM) technique, which combines a goal programming model with a simulation analysis to determine the balance sheet of a bank for the year 2000. To attain this goal, we analyzed the 1999 balance sheet of a Greek commercial bank facing conflicting goals such as returns, liquidity, solvency, and expansion of deposits and loans under uncertainty. An optimizer was embedded in a simulation model to obtain different optimal solutions for a set of interest rate scenarios, while a sensitivity analysis explored the effects of alterations in the order of goal priorities.

CHAPTER 1: INTRODUCTION

Asset and liability management is defined as the simultaneous planning of all asset and liability positions on the bank’s balance sheet under consideration of the different management objectives and legal, managerial and market constraints, for the purpose of mitigating......


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Approximate Word Count: 4316
Approximate Pages: 18 (250 words per double-spaced page)

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