TY - JOUR
T1 - A PROGRAMMING MODEL FOR BANK HEDGING DECISIONS
AU - Booth, G. Geoffrey
AU - Koveos, Panayotis
PY - 1986
Y1 - 1986
N2 - This study constructs, solves, and interprets a normative model that focuses on the risk management needs of a banking institution. The optimization model is a prototype, and it explicitly incorporates uncertainty via the two‐stage linear programming format. Both the traditional asset‐liability management and the newer hedging risk management strategies are included. The model suggests that although the specific risk management strategy mix depends on the economic scenario, hedging should be actively considered as a workable strategy.
AB - This study constructs, solves, and interprets a normative model that focuses on the risk management needs of a banking institution. The optimization model is a prototype, and it explicitly incorporates uncertainty via the two‐stage linear programming format. Both the traditional asset‐liability management and the newer hedging risk management strategies are included. The model suggests that although the specific risk management strategy mix depends on the economic scenario, hedging should be actively considered as a workable strategy.
UR - http://www.scopus.com/inward/record.url?scp=84986500415&partnerID=8YFLogxK
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U2 - 10.1111/j.1475-6803.1986.tb00457.x
DO - 10.1111/j.1475-6803.1986.tb00457.x
M3 - Article
AN - SCOPUS:84986500415
SN - 0270-2592
VL - 9
SP - 271
EP - 279
JO - Journal of Financial Research
JF - Journal of Financial Research
IS - 3
ER -