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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.
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.
- Motivation
- Core ALM Techniques
- ALM Perspectives: Accounting, Economic and Regulatory
- Accounting Principles
- Financial Contracts Modeling
- Contract Aggregation
- Scenario Generation
- Introduction to Mathematical Programming Applied to ALM
- Preparing The Model Coefficients
- Contract Sets
- Core Decision Variables
- Making The Model Legible With Auxiliary Variables
- Typical Objective Functions
- Accounting Constraints
- Market and Liquidity Constraints
- Regulatory Constraints
- Non-Arbitrage Constraints
- Implementing The Model Using Julia and JuMP
19. Conclusions
| Erscheinungsjahr: | 2023 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Seiten: | 204 |
| Inhalt: |
XII
204 S. 5 s/w Illustr. 11 s/w Tab. 5 b/w ill. 11 b/w tbl. |
| ISBN-13: | 9783110664225 |
| ISBN-10: | 3110664224 |
| Sprache: | Englisch |
| Autor: |
Gobira, Diogo
Duarte Processi, Lucas |
| Hersteller: | De Gruyter |
| Abbildungen: | 5 b/w ill., 11 b/w tbl. |
| Maße: | 17 x 172 x 245 mm |
| Von/Mit: | Diogo Gobira (u. a.) |
| Erscheinungsdatum: | 24.07.2023 |
| Gewicht: | 0,499 kg |
- Motivation
- Core ALM Techniques
- ALM Perspectives: Accounting, Economic and Regulatory
- Accounting Principles
- Financial Contracts Modeling
- Contract Aggregation
- Scenario Generation
- Introduction to Mathematical Programming Applied to ALM
- Preparing The Model Coefficients
- Contract Sets
- Core Decision Variables
- Making The Model Legible With Auxiliary Variables
- Typical Objective Functions
- Accounting Constraints
- Market and Liquidity Constraints
- Regulatory Constraints
- Non-Arbitrage Constraints
- Implementing The Model Using Julia and JuMP
19. Conclusions
| Erscheinungsjahr: | 2023 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Seiten: | 204 |
| Inhalt: |
XII
204 S. 5 s/w Illustr. 11 s/w Tab. 5 b/w ill. 11 b/w tbl. |
| ISBN-13: | 9783110664225 |
| ISBN-10: | 3110664224 |
| Sprache: | Englisch |
| Autor: |
Gobira, Diogo
Duarte Processi, Lucas |
| Hersteller: | De Gruyter |
| Abbildungen: | 5 b/w ill., 11 b/w tbl. |
| Maße: | 17 x 172 x 245 mm |
| Von/Mit: | Diogo Gobira (u. a.) |
| Erscheinungsdatum: | 24.07.2023 |
| Gewicht: | 0,499 kg |
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