USING GOAL PROGRAMMING FOR ASSET LIABILITY MANAGEMENT CASE STUDY: X BANK

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NAGHSHINH NADER; HANIFI FARHAD; KORDLOUIE HAMIDREZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:20 Page(s): 95-117

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Title

USING GOAL PROGRAMMING FOR ASSET LIABILITY MANAGEMENT CASE STUDY: X BANK

Author(s)

NAGHSHINH NADER | HANIFI FARHAD | KORDLOUIE HAMIDREZA | Issue Writer Certificate

Keywords

GOAL PROGRAMMINGQ2

ASSET LIABILITY MANAGEMENTQ2

ECONOMETRICS SIMULATIONQ2

Abstract

Asset – Liability Management (ALM) of banks is one of the significant issues that many managers are being faced with that. Also it is a challenge in the firms' path and especially financial institutions and banks, while many restrictions and rules are being enacted by supervisory organizations and market. On the other hand banks have different objectives that some of them are in different directions. Therefore, GOAL PROGRAMMING is the best method and technique in optimization. In this research a model designed including the operational profit and bounds or restrictions, legal and structural. Coefficients were found through statistical simulation methods. Then LINGO software was ran. There is a significant division out coming from the model and reality, but management can not conform itself with the model, because it is impossible to change the deposits and loans completely and suddenly. The model can be used as a guide in the bank rout.

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APA: Copy

NAGHSHINH, NADER, HANIFI, FARHAD, & KORDLOUIE, HAMIDREZA. (2014). USING GOAL PROGRAMMING FOR ASSET LIABILITY MANAGEMENT CASE STUDY: X BANK. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(20), 95-117. SID. https://sid.ir/paper/197743/en

Vancouver: Copy

NAGHSHINH NADER, HANIFI FARHAD, KORDLOUIE HAMIDREZA. USING GOAL PROGRAMMING FOR ASSET LIABILITY MANAGEMENT CASE STUDY: X BANK. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(20):95-117. Available from: https://sid.ir/paper/197743/en

IEEE: Copy

NADER NAGHSHINH, FARHAD HANIFI, and HAMIDREZA KORDLOUIE, “USING GOAL PROGRAMMING FOR ASSET LIABILITY MANAGEMENT CASE STUDY: X BANK,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 20, pp. 95–117, 2014, [Online]. Available: https://sid.ir/paper/197743/en

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