Abstract
Recently, banks need to manage not only profit, but also interest rate risk, liquidity risk, and so on. Therefore risk management becomes very important. In this paper, we propose a multi-currency ALM (Asset Liability Management) model. It is an advanced multi-period model proposed by the authors. The feature of this model is that it can show the trade-off relation between profit and risk. and the mathematical model can be solved with goal programming in order to treat this relation. As a result, numerical examples show the usefulness of the model.
