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020 _a9783110664225
_qprint
020 _a9783110664386
_qEPUB
020 _a9783110664669
_qPDF
024 7 _a10.1515/9783110664669
_2doi
035 _a(DE-B1597)9783110664669
035 _a(DE-B1597)525529
035 _a(OCoLC)1390922019
040 _aDE-B1597
_beng
_cDE-B1597
_erda
072 7 _aBUS033000
_2bisacsh
082 0 4 _85p
_a330
_qDE-101
084 _aonline - DeGruyter
100 1 _aGobira, Diogo
_eautore
245 1 0 _aALM Modeling and Balance Sheet Optimization :
_bA Mathematical Approach to Banking /
_cDiogo Gobira, Lucas Duarte Processi.
264 1 _aBerlin ;
_aBoston :
_bDe Gruyter,
_c[2023]
264 4 _c©2023
300 _a1 online resource (XII, 204 p.)
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 0 _aThe Moorad Choudhry Global Banking Series ,
_x2627-8847
505 0 0 _tFrontmatter --
_tForeword --
_tPreface --
_tContents --
_t1 Introduction --
_t2 Modeling Guidelines --
_t3 Fundamental Concepts: Balance Sheet Model --
_t4 Fundamental Concepts: Mathematical Programming --
_t5 Data Preparation Pipeline --
_t6 Building the Model: Foundations --
_t7 Building the Model: Business Rules --
_t8 Running the Model --
_t9 Adding Uncertainty --
_t10 Troubleshooting Strategies --
_t11 Conclusions --
_tAppendix A Introduction to Julia, JuMP, and SDDP --
_tBibliography --
_tList of Figures --
_tList of Tables --
_tList of Code Snippets --
_tAbout the Authors --
_tAbout the Series Editor --
_tIndex
506 0 _arestricted access
_uhttp://purl.org/coar/access_right/c_16ec
_fonline access with authorization
_2star
520 _aALM 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.
530 _aIssued also in print.
538 _aMode of access: Internet via World Wide Web.
546 _aIn English.
588 0 _aDescription based on online resource; title from PDF title page (publisher's Web site, viewed 26. Apr 2024)
650 4 _aBankbilanz.
650 4 _aBanken.
650 4 _aBilanzstrukturmanagement.
650 4 _aMathematische Programmierung.
650 4 _aRisikomanagement.
650 7 _aBUSINESS & ECONOMICS / Insurance / General.
_2bisacsh
653 _aALM.
653 _aAsset liability management.
653 _aBalance sheet optimization.
653 _aIntegrated capital and risk management.
653 _aMathematical programming.
700 1 _aDuarte Processi, Lucas
_eautore
850 _aIT-RoAPU
856 4 0 _uhttps://doi.org/10.1515/9783110664669
856 4 0 _uhttps://www.degruyter.com/isbn/9783110664669
856 4 2 _3Cover
_uhttps://www.degruyter.com/document/cover/isbn/9783110664669/original
942 _cEB
999 _c301386
_d301386