by Diogo Gobira, Lucas Processi
ALM Modeling and Balance Sheet
Optimization is a comprehensive book that combines theoretical
exploration with practical guidance and code examples on implementing a
balance sheet optimization model. The book emphasizes the use of
stochastic dynamic programming to develop a deep and holistic
understanding of the banking problem. Encompassing the entire
implementation stack – spanning from data layers to the specification
of decision variables, business and regulatory constraints, objective
functions, modeling strategies, solving techniques, debugging, and
reporting – this book serves as a comprehensive guide for constructing
highly effective balance optimization models from scratch, enabling the
maximization of banking outcomes.
Readers
will learn how to build a mathematical model capable of generating
projections for portfolios; balance sheet, income and cash flow
statements; capital, and risk measures in real-world scenarios. This
practical approach is particularly valuable for professionals involved
in integrated stress testing, capital adequacy assessment, financial
planning, and optimization tasks. In essence, the book offers valuable
insights into the challenges of balance sheet optimization, providing
readers with the necessary tools to build their own dynamic and
comprehensive ALM models.
