Gobira, D: ALM Modeling and Balance Sheet Optimization

ALM Modeling and Balance Sheet Optimization leads the reader through the vast world of mathematical programming applied to balance sheet optimization. It considers a wide range of business and regulatory constraints and different flavors of financial objectives to show how a mathematical model can be used to orchestrate the available information, market visions, operational constraints and bank objectives, working as a powerful decision support tool. The book argues that, soon, the use of optimization models may no longer be a mere option, becoming a matter of survival for bank institutions as in other sectors.

Readers will be able to understand the theory and implement a mathematical model capable of producing scenario projections for portfolios, balance sheets, results, capital and risk indicators in the real world. This book will be great benefit to those involved with integrated stress testing, capital adequacy testing and financial strategic planning and optimization tasks.