Accession Number:

AD0672581

Title:

INTERTEMPORAL BANK ASSET CHOICE WITH STOCHASTIC DEPENDENCE

Descriptive Note:

Systems research memo.

Corporate Author:

NORTHWESTERN UNIV EVANSTON IL TECHNOLOGICAL INST

Personal Author(s):

• Charnes, Abraham
• Littlechild, Stephen C.

Report Date:

1968-04-01

Pagination or Media Count:

27.0

Abstract:

The paper extends existing models of inter-temporal bank asset management in the following respects a Bank customers are identified, with requirements that their demands for loan renewals be satisfied. Opportunities are provided for attracting new customers b feedback relationships between loans and deposits are introduced c costs of servicing loans with different degrees of risk are introduced explicitly d future deposits and loan repayments are expressed as jointly dependent random variables e the Federal Reserve Boards liquidity leverage suggestions are replaced by chance-constraints on meeting demands for loans. This leads to a policy of balancing maturities in the bond portfolio. The format of the model is that of chance- constrained programming, with piecewise linear approximations to the non-linear constraints. A 5-period example, with parameterizing on the right hand side, is presented.

Descriptors:

• *BANKING
• *MATHEMATICAL PROGRAMMING
• COSTS
• DECISION MAKING
• MANAGEMENT PLANNING AND CONTROL
• MATHEMATICAL MODELS
• MONEY
• PROBABILITY
• STOCHASTIC PROCESSES
• UNCERTAINTY

Subject Categories:

• Economics and Cost Analysis
• Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE