1993 Volume 2 Issue 1 Pages 3-23
The recent financial deregulation and internationalization have caused a great deal of financial risk which is interest rate risk, liquidity risk, and so on, to banking in Japan. Then financial risk management becomes very important, and banks need to manage not only profit, but also risk.
In this paper, we propose the multi-period ALM model. It is the advanced model of the goal-programming model, which is based on the idea of risk management (ALM), and proposed by Hibiki and Fukukawa. The feature of this model is that it can show the plan to manage assets and liabilities in the future, in addition to the feature that it can show the trade-off relation between profit and risk.
Then we can solve this model with goal-programming, in order to treat both profit and risk. And we investigate the usefulness of this model by representing the features and mathematical formulations.
