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ALM Modeling and Balance Sheet Optimization : A Mathematical Approach to Banking.
- Format:
- Book
- Author/Creator:
- Gobira, Diogo.
- Series:
- The Moorad Choudhry Global Banking Series
- Language:
- English
- Subjects (All):
- Asset-liability management.
- Mathematical optimization.
- Physical Description:
- 1 online resource (216 pages)
- Edition:
- 1st ed.
- Place of Publication:
- Berlin/Boston : Walter de Gruyter GmbH, 2023.
- Summary:
- This book delves into the complexities of balance sheet optimization within the banking industry. It examines the challenges faced by financial institutions in managing credit risk, regulatory compliance, and capital adequacy. The text explores the application of mathematical optimization techniques, specifically using the Julia programming language and its JuMP.jl and SDDP.jl packages, to create integrated asset and liability management models. These models aim to enhance financial statement projections and improve operational efficiency. The book is intended for both technical professionals seeking to implement these models and non-technical professionals interested in understanding their implications. The author provides practical insights and code examples to guide the development of robust financial optimization systems. Generated by AI.
- Contents:
- Intro
- Foreword
- Preface
- Contents
- 1 Introduction
- 2 Modeling Guidelines
- 3 Fundamental Concepts: Balance Sheet Model
- 4 Fundamental Concepts: Mathematical Programming
- 5 Data Preparation Pipeline
- 6 Building the Model: Foundations
- 7 Building the Model: Business Rules
- 8 Running the Model
- 9 Adding Uncertainty
- 10 Troubleshooting Strategies
- 11 Conclusions
- Appendix A Introduction to Julia, JuMP, and SDDP
- Bibliography
- List of Figures
- List of Tables
- List of Code Snippets
- About the Authors
- About the Series Editor
- Index.
- Notes:
- Description based on publisher supplied metadata and other sources.
- Part of the metadata in this record was created by AI, based on the text of the resource.
- Other Format:
- Print version: Gobira, Diogo ALM Modeling and Balance Sheet Optimization
- ISBN:
- 9783110664669
- 3110664666
- OCLC:
- 1390922019
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