TY  - BOOK
AU  - Gobira,Diogo
AU  - Duarte Processi,Lucas
TI  - ALM Modeling and Balance Sheet Optimization: A Mathematical Approach to Banking 
T2  - The Moorad Choudhry Global Banking Series ,
SN  - 9783110664225
U1  - 330 
PY  - 2023///]
CY  - Berlin, Boston
PB  - De Gruyter
KW  - Bankbilanz
KW  - Banken
KW  - Bilanzstrukturmanagement
KW  - Mathematische Programmierung
KW  - Risikomanagement
KW  - BUSINESS & ECONOMICS / Insurance / General
KW  - bisacsh
KW  - ALM
KW  - Asset liability management
KW  - Balance sheet optimization
KW  - Integrated capital and risk management
KW  - Mathematical programming
N1  - Frontmatter --; 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; restricted access; Issued also in print
N2  - 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
UR  - https://doi.org/10.1515/9783110664669
UR  - https://www.degruyter.com/isbn/9783110664669
UR  - https://www.degruyter.com/document/cover/isbn/9783110664669/original
ER  -