Diogo Gobira, Lucas Duarte Processi

ALM Modeling and Balance Sheet Optimization (eBook, ePUB)

A Mathematical Approach to Banking

• Format: ePub

Produktbeschreibung

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 sheet optimization, providing readers with the necessary tools to build their own dynamic and comprehensive ALM models.

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Produktdetails

• Verlag: De Gruyter
• Seitenzahl: 216
• Erscheinungstermin: 24. Juli 2023
• Englisch
• ISBN-13: 9783110664386
• Artikelnr.: 68210389

Autorenporträt

Diogo Gobira is a skilled finance professional and entrepreneur with a strong background in quantitative risk management and mathematical finance. He holds a Master of Science degree in Mathematical Finance from the Institute for Pure and Applied Mathematics (IMPA), and has worked as a Market Risk and Quantitative Modelling Manager at BNDES (Brazilian National Development Bank). Diogo is proficient in a range of technical areas, including programming, databases, derivatives pricing, portfolio optimization, integrated risk management, IRRBB, FTP, stress testing, and balance sheet optimization. Diogo is also a co-founder of Financial Risk Academy, a company specializing in the development of balance sheet optimization models and advanced training and consulting in quantitative finance.

Lucas Processi is an engineer and financial expert with a passion for market risk management and pricing of financial instruments. With a Bachelor's degree in Production Engineering from the Federal Fluminense University (UFF) and a Master's degree in Economics and Finance from the Getulio Vargas Foundation (FGV), Lucas is a market risk manager at the Brazilian National Development Bank (BNDES) and one of the founders of the Financial Risk Academy, where he shares his expertise in quantitative finance and programming with students and professionals alike. Additionally, his experience in the banking industry has enabled him to be a consultant in robo-advisors development, mathematical programming, ALM, and balance sheet optimization.

Inhaltsangabe

1. Motivation



2. Core ALM Techniques



3. ALM Perspectives: Accounting, Economic and Regulatory



4. Accounting Principles



5. Financial Contracts Modeling



6. Contract Aggregation



7. Scenario Generation



8. Introduction to Mathematical Programming Applied to ALM



9. Preparing The Model Coefficients



10. Contract Sets



11. Core Decision Variables



12. Making The Model Legible With Auxiliary Variables



13. Typical Objective Functions



14. Accounting Constraints



15. Market and Liquidity Constraints



16. Regulatory Constraints



17. Non-Arbitrage Constraints



18. Implementing The Model Using Julia and JuMP

19. Conclusions

Rezensionen

"My long-term plans are to develop software to do balance sheet management, and the approach you wrote about in the book fits right into those plans. The current software used by the largest banks in the United States is antiquated. That presents a business opportunity for a group of people with the right ideas to move the industry forward." -- Brent Ritterbeck, Senior Treasury Specialist, BNY Mellon