A Chance-Constrained Approach to Bank Dynamic Balance Sheet Management

摘要

The dynamic balance sheet management model formulated deterministically by Chambers and Charnes was extended stochastically by Cohen and Thore to a two-stage LPU2 model. This paper develops a chance-constrained model which compares well with the Cohen and Thore example but in addition is easily extendable to formulations of realistic size, as the C-T model is not, and with the availability of dual evaluators. (Author)