A PROGRAMMING MODEL FOR BANK HEDGING DECISIONS

G. Geoffrey Booth, Panayotis Koveos

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)271-279
Number of pages9
JournalJournal of Financial Research
Volume9
Issue number3
DOIs
StatePublished - 1986

ASJC Scopus subject areas

  • Accounting
  • Finance

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