Risk Management in Banks—A Stochastic Approach
The following paper is divided into four main parts. The fIrst part contains a brief overview of the one stage programming model already introduced in  and  and an overall description of the decision situation investigated. In part two the two stage stochastic programming model is presented and its structure is compared with that of the one stage model. Part three summarizes the results obtained with the models mentioned above. The paper concludes with remarks about the practical value of such models.
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