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ALM MODELING AND BALANCE SHEET OPTIMIZATION : a mathematical approach to banking by Diogo Gobira, Lucas Duarte Processi is a nonfiction available to read on EtoBox.

What is ALM MODELING AND BALANCE SHEET OPTIMIZATION : a mathematical approach to banking about?

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 sh

Who reads ALM MODELING AND BALANCE SHEET OPTIMIZATION : a mathematical approach to banking?

Author

Diogo Gobira, Lucas Duarte Processi

Publisher

de Gruyter GmbH, Walter

Published

2023

Language

EN

ISBN

9783110664225

Category

nonfiction

Subjects

Business, Professional Finance

Updated

2026-03-24