Goal programming models for managing interest-rate risk

Gg Booth and W Bessler

Omega, 1989, vol. 17, issue 1, 81-89

Abstract: This paper develops two goal programming models (Forecast Model and Duration Model) to assist a bank in creating optimal strategies to manage interest-rate risk. The Forecast Model requires knowledge concerning the magnitude and direction of potential interest-rate shocks, and the Duration Model only needs information concerning the direction of this shock. The two models are shown to provide identical solutions for a plausible economic scenario. Because of its less restrictive information base, the Duration Model is concluded to be superior to the Forecast Model and other similarly constructed extant models.

Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0305-0483(89)90023-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:17:y:1989:i:1:p:81-89

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().