This paper considers the optimal asset allocation strategy for bank with stochastic interest rates when there are three types of asset: Bank account, loans and securities. The asset allocation problem is to maximize the expected utility from terminal wealth of a bank's shareholders over a finite...

The aim of this paper is to develop a methodology to estimate the interest rates yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the...

This paper presents the application of a Goal Programming (GP) model to develop an Asset Liability Management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach the objective, the paper...

This paper presents the application of a goal programming (GP) model to develop an asset liability management (ALM) strategy from a balance sheet of a Tunisian commercial bank. The model determines the optimal structure of the balance sheet for the year 2007. To reach our objective, we have...

This paper is divided into threefold, the first of which depicts a panorama about banks' economic role and the importance of bank capital through a literature review. In the second section, an analysis of hypothetical bank balance sheet structure concerning a representative bank along with an...

Our study is motivated by banking regulation that emphasizes risk minimization practices associated with assets and regulatory capital. In an attempt to address the problem of compliance to minimum capital adequacy ratios (CAR) and under assumptions about retained earnings, loan-loss reserves,...

Purpose – Investment decisions by agribusiness firms are costly and subject to high volatility and uncertainty. In many cases, the project value is not only determined by its cash‐flows stream and financial side effects but also by the presence of substantial future uncertainty such as...

Purpose: This study aims to shed more light on the relationship between probability of default, investment horizons and rating classes to make decision-making processes more efficient. Design/methodology/approach: Based on credit default swaps (CDS) spreads, a methodology is implemented to...