Goal Programming Techniques for Bank Asset Liability Management

2004 ◽  
Keyword(s):  
Goal Programming ◽  
Asset Liability Management ◽  
Liability Management ◽  
Programming Techniques

scholarly journals Asset Liability Management for the Parliamentary Pension Scheme of Uganda by Stochastic Programming

2021 ◽  
Vol 16 (2) ◽  
pp. 2689-2715
Author(s):  
Herbert Mukalazi ◽  
‪Torbjörn Larsson ◽  
Kasozi Juma ◽  
Mayambala Fred
Keyword(s):  
Stochastic Programming ◽  
Covariance Structure ◽  
Optimal Investment ◽  
Pension Scheme ◽  
Asset Liability Management ◽  
Return Distribution ◽  
Liability Management ◽  
Programming Techniques ◽  
The Mean ◽  
Using Data

We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Parliamentary Pension Scheme of Uganda, we obtain the optimal investment policies.Randomly sampled scenario trees using the mean, and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period for monthly pension.We obtain the funding situation of the scheme at each stage under three different asset investment limits.

scholarly journals MATHEMATICAL MODELING OF ASSET LIABILITY MANAGEMENT IN BANKS USING GOAL PROGRAMMING AND AHP

2020 ◽  
Vol 4 (4) ◽  
pp. 1-19
Author(s):  
Jyoti Tanwar ◽  
Arun Kumar Vaish ◽  
N V M Rao
Keyword(s):  
Goal Programming ◽  
Banking Sector ◽  
Programming Model ◽  
Balance Sheet ◽  
Annual Reports ◽  
Primary Data ◽  
Asset Liability Management ◽  
Liability Management ◽  
Priority Weights ◽  
Gp Model

Asset Liability Management has gained popularity in the banking sector. Earlier banks focused on asset allocation, but now the management of assets and liabilities is equally essential. Asset liability management targets the optimum distribution of funds in assets and managing liabilities so that banks can earn higher profits and minimize risk. In this paper, the optimization of assets and liabilities of Indian banks has been concentrated using mathematical models. Combining the Analytical Hierarchy Process (AHP) and Goal Programming (GP) model has been used to solve the optimization problem. AHP is a multi-criteria decision-making approach for deriving priority weights. Goal Programming is a linear programming model to solve complex issues having multiple objectives. In this paper, the primary data gathered from Bank senior managers have been analyzed using the AHP approach to derive weights for criteria. These weights are assigned to goals in goal programming to prioritize the goals. Secondary data on OBC bank is used in goal programming from 2010-2019 collected from OBC bank's annual reports and RBI websites. The findings show that OBC bank has the scope of improving its assets and liabilities position to increase its profit and minimize the risk. The model generates an optimum balance sheet that achieves the set goals and satisfies all the statutory and planning constraints. The same model can be useful for scheduled commercial banks in India with modifications concerning banks' targets and controls. The model developed in this paper is helpful for bank managers in planning and forecasting. AHP and GP's combined approach is unique in this paper, which uses experts' knowledge and applies it in the model. The model is created on the bank's realistic goals and constraints after carefully considering the issues faced by bank officials. The paper is limited to the Indian Banking system as other countries have different balance sheet structures and constraints.

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