Generating interest rate scenarios for bank asset liability management

DOI10.1007/s11590-007-0050-9zbMath1136.91544OpenAlexW2070736426MaRDI QIDQ928295

Constantin Zopounidis, Kyriaki Kosmidou

Publication date: 11 June 2008

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-007-0050-9

zbMATH Keywords

simulationgoal programminginterest rateasset liability managementduration-gap

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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