This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering expected cashflow gaps without violating regulatory and business constraints. Anticipated economic value loss, cashflow loss, and adverse market impact are the major drivers of...

To avoid the complexity and time consumption of traditional statistical and mathematical programming, intelligent techniques have gained great attention in different financial research areas, especially in banking decisions' optimization. However, choosing optimum bank lending decisions that...