Από κοινού διαχείριση περιουσιακών στοιχείων & υποχρεώσεων τραπεζικών ιδρυμάτων
SubjectΑγορά χρήματος ; Επενδύσεις ; Τράπεζες και τραπεζικές εργασίες -- Αυτοματισμός ; Ομόλογα ; Διαχείριση χαρτοφυλακίου ; Πιστωτικός κίνδυνος
The purpose of this diploma thesis is the study of methods of this joint management of financial elements and obligations for banks. The study begins with a report about the role of banks and the services they offer in the wide public, as well as, in the types of risks face with emphasis on the risks of liquidity and interest-rate as the joint management of Assets and Liabilities is one of the tools for dealing with the above mentioned risks (chapter 1). In chapter 2, we make a review of the Asset Liability Management Techniques (such as deterministic models, stochastic models) and study continues with the most important models of joint management. Models of Chambers and Charnes, Gioka and Vassiloglou, Kusy and Ziemba, Kosmidou and Zopounidi and portfolio theory of Markowitz are analysed also in chapter 2. In Chapter 3, the modern ALM methodology is represented, which includes gap analysis and duration analysis and study is completed with a presentation of certain applications for the comprehension of basic significances of ALM methodology. More specially, we represent the model of Kosmidou and Zopounidi for a Greek commercial bank according to the goals and aims that the managerial executives place, a variation of the model of Gioka and Vassiloglou without priorities, calculation of duration gap and how we use it in order to calculate changes in the value of Assets and Liabilities due to interest rate changes and finally calculation of gap, Net Interest Income and Net Interest Margin (Chapter 4).