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Cover: 9783110664225 | ALM Modeling and Balance Sheet Optimization | Diogo Gobira (u. a.)
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ALM Modeling and Balance Sheet Optimization
A Mathematical Approach to Banking
Buch von Diogo Gobira (u. a.)
Sprache: Englisch

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Beschreibung
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.

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.

Inhaltsverzeichnis
  1. Motivation
  2. Core ALM Techniques
  3. ALM Perspectives: Accounting, Economic and Regulatory
  4. Accounting Principles
  5. Financial Contracts Modeling
  6. Contract Aggregation
  7. Scenario Generation
  8. Introduction to Mathematical Programming Applied to ALM
  9. Preparing The Model Coefficients
  10. Contract Sets
  11. Core Decision Variables
  12. Making The Model Legible With Auxiliary Variables
  13. Typical Objective Functions
  14. Accounting Constraints
  15. Market and Liquidity Constraints
  16. Regulatory Constraints
  17. Non-Arbitrage Constraints
  18. Implementing The Model Using Julia and JuMP

19. Conclusions

Details
Erscheinungsjahr: 2023
Fachbereich: Betriebswirtschaft
Genre: Recht, Sozialwissenschaften, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: XII
204 S.
5 s/w Illustr.
11 s/w Tab.
5 b/w ill.
11 b/w tbl.
ISBN-13: 9783110664225
ISBN-10: 3110664224
Sprache: Englisch
Autor: Gobira, Diogo
Duarte Processi, Lucas
Hersteller: De Gruyter
Verantwortliche Person für die EU: Walter de Gruyter GmbH, De Gruyter GmbH, Genthiner Strasse 13, D-10785 Berlin, productsafety@degruyterbrill.com
Abbildungen: 5 b/w ill., 11 b/w tbl.
Maße: 17 x 172 x 245 mm
Von/Mit: Diogo Gobira (u. a.)
Erscheinungsdatum: 24.07.2023
Gewicht: 0,499 kg
Artikel-ID: 115958859
Inhaltsverzeichnis
  1. Motivation
  2. Core ALM Techniques
  3. ALM Perspectives: Accounting, Economic and Regulatory
  4. Accounting Principles
  5. Financial Contracts Modeling
  6. Contract Aggregation
  7. Scenario Generation
  8. Introduction to Mathematical Programming Applied to ALM
  9. Preparing The Model Coefficients
  10. Contract Sets
  11. Core Decision Variables
  12. Making The Model Legible With Auxiliary Variables
  13. Typical Objective Functions
  14. Accounting Constraints
  15. Market and Liquidity Constraints
  16. Regulatory Constraints
  17. Non-Arbitrage Constraints
  18. Implementing The Model Using Julia and JuMP

19. Conclusions

Details
Erscheinungsjahr: 2023
Fachbereich: Betriebswirtschaft
Genre: Recht, Sozialwissenschaften, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: XII
204 S.
5 s/w Illustr.
11 s/w Tab.
5 b/w ill.
11 b/w tbl.
ISBN-13: 9783110664225
ISBN-10: 3110664224
Sprache: Englisch
Autor: Gobira, Diogo
Duarte Processi, Lucas
Hersteller: De Gruyter
Verantwortliche Person für die EU: Walter de Gruyter GmbH, De Gruyter GmbH, Genthiner Strasse 13, D-10785 Berlin, productsafety@degruyterbrill.com
Abbildungen: 5 b/w ill., 11 b/w tbl.
Maße: 17 x 172 x 245 mm
Von/Mit: Diogo Gobira (u. a.)
Erscheinungsdatum: 24.07.2023
Gewicht: 0,499 kg
Artikel-ID: 115958859
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