Generating interest rate scenarios for bank asset liability management
type: Item
instance of: scholarly article
title: Generating interest rate scenarios for bank asset liability management
zbMATH Open document ID: 1136.91544
author: Kyriaki Kosmidou
author: Constantin Zopounidis
published in: Optimization Letters
publication date: 2008-06-11T00:00:00Z
Mathematics Subject Classification ID: 91B74
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5286556
zbMATH Keywords: asset liability management
zbMATH Keywords: interest rate
zbMATH Keywords: goal programming
zbMATH Keywords: simulation
zbMATH Keywords: duration-gap
MaRDI profile type: Publication
full work available at URL: s11590-007-0050-9
OpenAlex ID: W2070736426
cites work: Q4251881
cites work: Dynamic stochastic programming for asset-liability management
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cites work: A stochastic programming model for money management
cites work: Short Term Financial Planning under Uncertainty
cites work: Goal programming techniques for bank asset liability management.
cites work: Scenario generation and stochastic programming models for asset liability management
cites work: Q4794152
cites work: Stochastic Network Programming for Financial Planning Problems
cites work: A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
DOI: 10.1007/S11590-007-0050-9
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description: scientific article; zbMATH DE number 5286556