A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

The IUP Journal of Financial Risk Management, Vol. X, No. 4, December 2013, pp. 35-56

Posted: 4 Aug 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: July 17, 2014

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 the objective, the paper analyzes the bank’s balance sheet for 2006 facing several conflicting goals such as solvency, liquidity, maximizing of net interest margin and increasing deposits and loans under the structural, political, and regulatory constraints. The solution of this model involves 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 is performed to check the validity and stability of the optimal solution. Finally, forecasts of asset and liability accounts are made to maintain a long-term ALM strategy for the bank.

Suggested Citation

Chakroun, Fatma and Abid, Fathi, A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank (July 17, 2014). The IUP Journal of Financial Risk Management, Vol. X, No. 4, December 2013, pp. 35-56. Available at SSRN: https://ssrn.com/abstract=2467468

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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