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An interest rate risk management model for commercial banks

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  • Bessler, Wolfgang
  • Geoffrey Booth, G.

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  • Bessler, Wolfgang & Geoffrey Booth, G., 1994. "An interest rate risk management model for commercial banks," European Journal of Operational Research, Elsevier, vol. 74(2), pages 243-256, April.
    • Handle: RePEc:eee:ejores:v:74:y:1994:i:2:p:243-256
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    Cited by:

    1. Bessler, Wolfgang & Kurmann, Philipp & Nohel, Tom, 2015. "Time-varying systematic and idiosyncratic risk exposures of US bank holding companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 45-68.
    2. Ostermark, Ralf & Skrifvars, Hans & Westerlund, Tapio, 2000. "A nonlinear mixed integer multiperiod firm model," International Journal of Production Economics, Elsevier, vol. 67(2), pages 183-199, September.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. S. Seshadri & A. Khanna & F. Harche & R. Wyle, 1999. "A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York," Operations Research, INFORMS, vol. 47(3), pages 345-360, June.
    5. Powell, John G. & Premachandra, I.M., 1998. "Accommodating diverse institutional investment objectives and constraints using non-linear goal programming," European Journal of Operational Research, Elsevier, vol. 105(3), pages 447-456, March.

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