Bank balance sheet risk allocation

Pedro Júdice and Qiji Jim Zhu

Journal of Banking & Finance, 2021, vol. 133, issue C

Abstract: We formulate the optimal balance sheet management problem as a linear program and study it using a duality approach. In addition to helping determine the optimal balance sheet, the dual problem also provides us the interest rate risk and credit risk pricing.

Keywords: Interest rate risk; Credit risk; Balance sheet optimization; Risk allocation; Duality (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002132

DOI: 10.1016/j.jbankfin.2021.106257

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