Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities

Bayliss, Christopher; Serra, Marti; Nieto, Armando; Juan, Ángel A.

doi:10.3390/risks8040131

Cited by 2 publications

(1 citation statement)

References 46 publications

(43 reference statements)

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“…Managers and policy makers of banks are desperately looking for the best or optimal way to manage the assets and liabilities of banks because the banking industry has a very important role in the economic system of different countries and also the need to pay constant attention to this sector has increased with major financial crises in the last few years and its impact on the banking system [68][69][70][71][72][73][74][75][76][77][78][79][80][81][82][83][84][85][86].…”

Section: Introductionmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance sheet. Most of the studies `and proposed models in the ALM field are based on an objective function that maximizes bank profit. It is not easy to apply changes in these models in order to reach the optimal values of the parameters in the balance sheet. In this article, an attempt has been made to propose a linear model using constraints to achieve optimal values of balance sheet parameters using ALM objectives and considering balance sheet, system and regulatory constraints. It has also been tried to design the model according to the most possible mode and with the least changes and to minimize the size of the balance sheet. The analysis of the model presented in this article has been conducted using the parameters of the balance sheet and income statement of one of the famous Iranian banks. The results obtained from the proposed model show that the values of cash and receivables from banks and other credit institutions have decreased by 30% and increased by 200%, respectively, compared to the actual values of these parameters. Also, Total Income, Operating Income and Non-Operating Income have grown by 30% compared to the actual values of these parameters. Also, the values of a number of parameters are estimated to be zero after optimization. According to the results, it is obvious that the performance of bank managers, especially in the management of bank assets, is significantly different from the optimal values of the balance sheet, and the results obtained from the proposed model can help the management of banks as much as possible.

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Section: Introductionmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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Matheuristics for the Design of a Multi-Step, Multi-Product Supply Chain with Multimodal Transport

et al. 2021

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Supply-chain network design is a complex task because there are many decisions involved, and presently, global networks involve many actors and variables, for example, in the automotive, pharmaceutical, and electronics industries. This research addresses a supply-chain network design problem with four levels: suppliers, factories, warehouses, and customers. The problem considered decides on the number, locations, and capacities of factories and warehouses and the transportation between levels in the supply chain. The problem is modeled as a mixed-integer linear program. The main contribution of this work is the proposal of two matheuristic algorithms to solve the problem. Matheuristics are algorithms that combine exact methods and heuristics, attracting interest in the literature because of their fast execution and high-quality solutions. The matheuristics proposed to select the warehouses and their capacities following heuristic rules. Once the warehouses and their capacities are fixed, the algorithms solve reduced models using commercial optimization software. Medium and large instances were generated based on a procedure described in the literature. A comparison is made between the algorithms and the results obtained, solving the model with a time limit. The algorithms proposed are successful in obtaining better results for the largest instances in shorter execution times.

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Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities

Cited by 2 publications

References 46 publications

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Matheuristics for the Design of a Multi-Step, Multi-Product Supply Chain with Multimodal Transport

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