APPLICATION AND LIABILITIES ASSETS MANAGEMENT BEHAVIOR AS AN INSTRUMENT FOR BANK
Assets And Liabilities Management is a mathematical model that manage the alocation of bank?s assets and liabilities. The primary goal from this Assets and Liabilities Management is to maximize earnings subject to acceptable levels of interest rate and liquidity risk. In this thesis, Assets and...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/17241 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Assets And Liabilities Management is a mathematical model that manage the
alocation of bank?s assets and liabilities. The primary goal from this Assets
and Liabilities Management is to maximize earnings subject to acceptable levels
of interest rate and liquidity risk.
In this thesis, Assets and Liabilities Management is built based on single-
period model. The objective function is formulated to minimize the vari-
ance of changes in gain with respect to some constraints, such as: asset?s
gap constraint, liability?s gap constraint, average yield constraint, distribution
constraint, duration constraint, convexity constraint, dan transaction cost con-
straint. Meanwhile, liquidity risk is covered by government?s regulation that
obtained by Assets and Liabilities Management.
Generally, this thesis explain about Assets and Liabilities Management start
from formulate the objective function until apply the Assets and Liabilities
Management to data of a bank. |
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