| Article ID: | iaor20031279 |
| Country: | Netherlands |
| Volume: | 33 |
| Issue: | 1 |
| Start Page Number: | 23 |
| End Page Number: | 38 |
| Publication Date: | May 2002 |
| Journal: | Decision Support Systems |
| Authors: | Moynihan Gary P., Purushothaman Prasad, McLeod Robert W., Nichols William G. |
| Keywords: | decision: applications |
The following paper discusses the development of a decision support system for asset and liability management (ALM) in financial institutions. The system utilizes historical data to develop algorithms that can forecast the amounts of these assets and liabilities. Simulation models are used to identify the crests and troughs of the primary interest rate, and to forecast interest rates for future cycles of interest. The outputs of the algorithms are utilized to calculate the gap position and interest rate risk of the institution. ‘What-if’ analysis features are incorporated into the system to determine the favorable alternatives in changing market environments.