A Multi-Objective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

The IUP Journal of Financial Risk Management, Forthcoming

19 Pages Posted: 13 Mar 2014

See all articles by Fatma Chakroun

Fatma Chakroun

University of Sfax-Faculty of Economics and Management (FSEGS)

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

Date Written: April 6, 2013

Abstract

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 analyzed the 2006 bank’s balance sheet facing several conflicting goals such as solvency, liquidity, maximizing net interest margin and increasing deposits and loans under the structural, political, and regulatory constraints. The solution of this model involves the minimization of the sum deviations from the target values of goals. The results differ significantly from the current values of the bank’s balance sheet, which shows the relevance of the model and its use as a strategic planning and decision support tool. Then, a post optimality analysis was performed to check the validity and the stability of the optimal solution. Finally, forecasts of asset and liability accounts were made to maintain a long term ALM strategy for the bank.

Keywords: ALM, Goal Programming, Optimization, Commercial Bank

Suggested Citation

Chakroun, Fatma and Abid, Fathi, A Multi-Objective Model for Bank Asset Liability Management: The Case of a Tunisian Bank (April 6, 2013). The IUP Journal of Financial Risk Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2246129

Fatma Chakroun (Contact Author)

University of Sfax-Faculty of Economics and Management (FSEGS) ( email )

Airport Road Km 4
Sfax, 3081
Tunisia

Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory ( email )

Road of Airport, Km 4
Sfax, sfax 3018
Tunisia
+216 7427 9154 (Phone)

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