Combining goal programming model with simulation analysis for bank asset liability management

The aim of this paper is to present an Asset Liability Management technique, which combines a goal programming model with a simulation analysis to determine the balance sheet of a bank for the year 2000. To attain this goal, we analyzed the 1999 balance sheet of a Greek commercial bank facing conflicting goals such as returns, liquidity, solvency, and expansion of deposits and loans under uncertainty. An optimizer was embedded in a simulation model to obtain different optimal solutions for a set of interest rate scenarios, while a sensitivity analysis explored the effects of alterations in the order of goal priorities.