ALM Modeling and Balance Sheet Optimization

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.

Author: Diogo Lucas Gobira Processi
Publisher: de Gruyter
Published: 07/10/2023
Pages: 216
Binding Type: Hardcover
Weight: 1.20lbs
Size: 9.61h x 6.69w x 0.56d
ISBN13: 9783110664225
ISBN10: 3110664224
BISAC Categories:
- Business & Economics | Insurance | General
- Business & Economics | Banks & Banking

About the Author

Diogo Gobira and Lucas Processi, Market Risk Managers, BNDES and co-founders, Financial Risk Academy