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On Matching Book: A Problem in Banking and Corporate Finance

Author

Listed:
  • M. Shubik

    (Cowles Foundation, Yale University, 30 Hillhouse Avenue, New Haven, Connecticut 06520)

  • M. J. Sobel

    (312A Harriman Hall, State University of New York, Stony Brook, New York 11794-3775)

Abstract

In each of the asset and liability markets in which the banking firm is an intermediary, typically there are instruments with differing maturities. The bank matching book problem is to manage the term structures of assets and liabilities. In our first model, the bank borrows and lends only short run. In our second model, the bank borrows only short run but can lend short run and long run. The criterion in both models is the expected value of the present value of dividends issued. Both models yield dynamic programming problems. Broad aspects of optimal policies are indicated.

Suggested Citation

  • M. Shubik & M. J. Sobel, 1992. "On Matching Book: A Problem in Banking and Corporate Finance," Management Science, INFORMS, vol. 38(6), pages 827-839, June.
    • Handle: RePEc:inm:ormnsc:v:38:y:1992:i:6:p:827-839
    DOI: 10.1287/mnsc.38.6.827
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    Citations

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    Cited by:

    1. Matthew Sobel, 2013. "Discounting axioms imply risk neutrality," Annals of Operations Research, Springer, vol. 208(1), pages 417-432, September.
    2. HuiChen Chiang, 2007. "Financial intermediary's choice of borrowing," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 251-260.
    3. Lode Li & Martin Shubik & Matthew J. Sobel, 2013. "Control of Dividends, Capital Subscriptions, and Physical Inventories," Management Science, INFORMS, vol. 59(5), pages 1107-1124, May.

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