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A Mathematical Programming Approach for the Optimal Collateral Allocation Problem

In: Operations Research Proceedings 2018

Author

Listed:
  • Konstantinos Papalamprou

    (Aristotle University of Thessaloniki)

  • Efthymios P. Pournaras

    (National and Kapodistrian University of Athens)

  • Styliani Tychalaki

    (Aristotle University of Thessaloniki)

Abstract

The minimization of regulatory capital requirements has significant impact on the activities of the financial institutions, since it is usually associated with an increase in liquidity which is considered of critical importance for their sustainability and growth. The main tool towards such an aim is the effective allocation of collaterals to the associated set of loans. A methodology regarding this problem, based on the well-known transportation problem, is provided in this paper. Our approach has been implemented and applied to both real data from a systemic bank and synthetic data. From the results obtained it is evident that the proposed formulation leads to less regulatory capital requirements compared to other existing methodologies also implemented for the purposes of the current work.

Suggested Citation

  • Konstantinos Papalamprou & Efthymios P. Pournaras & Styliani Tychalaki, 2019. "A Mathematical Programming Approach for the Optimal Collateral Allocation Problem," Operations Research Proceedings, in: Bernard Fortz & Martine LabbĂ© (ed.), Operations Research Proceedings 2018, pages 209-215, Springer.
    • Handle: RePEc:spr:oprchp:978-3-030-18500-8_27
    DOI: 10.1007/978-3-030-18500-8_27
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