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Risk Management in Banks—A Stochastic Approach

  • Ulla-Christiane Kopp
Conference paper

Abstract

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 [3] and [4] 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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References

  1. [1]
    W. Bessler, G. G. Booth; Controlling interest rate risk in commercial banks; conference paper; Fifth Symposium on Money, Banking, and Insurance; 1990Google Scholar
  2. [2]
    G. G. Booth, W. Bessler; Goal programming models for managing interest rate risk; OMEGA-the international Journal of Management Science; 1989Google Scholar
  3. [3]
    U.-C. Kopp; Risk Management in Banks; to appear in: Proceedings of the 15th Symposium on Operations Research; (1992)Google Scholar
  4. [4]
    U.-C. Kopp; Quantitatives Risikomanagement in Banken-Ein Entscheidungsmodell zum Management der Geschäftsrisiken; Dissertation Hochschule St. Gallen; 1992Google Scholar
  5. [5]
    H. Meyer zu Selhausen; Ermittlung robuster Strategien für die Steuerung des Zinsrisikos einer Universalbank; Zeitschrift für Bankrecht und Bankwirtschaft; 1991Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 1993

Authors and Affiliations

  • Ulla-Christiane Kopp
    • 1
  1. 1.Institut für Unternehmensforschung (OR)Hochschule St. GallenSt. GallenSwitzerland

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