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Journal cover: Journal of Risk Finance, The

Journal of Risk Finance, The

ISSN: 1526-5943
Incorporates: Balance Sheet

Online from: 1999

Subject Area: Accounting and Finance

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Asset and liability management in financial crisis


Document Information:
Title:Asset and liability management in financial crisis
Author(s):Arzu Tektas, (Department of International Trade, School of Applied Disciplines, Bog?aziçi University, Istanbul, Turkey), E. Nur Ozkan-Gunay, (Department of International Trade, School of Applied Disciplines, Bog?aziçi University, Istanbul, Turkey), Gokhan Gunay, (Department of International Trade, School of Applied Disciplines, Bog?aziçi University, Istanbul, Turkey)
Citation:Arzu Tektas, E. Nur Ozkan-Gunay, Gokhan Gunay, (2005) "Asset and liability management in financial crisis", Journal of Risk Finance, The, Vol. 6 Iss: 2, pp.135 - 149
Keywords:Assets management, Banking, Financial management, Liability, Turkey
Article type:Case study
DOI:10.1108/15265940510585806 (Permanent URL)
Publisher:Emerald Group Publishing Limited
Abstract:

Purpose – An efficient asset-liability management requires maximizing banks' profit as well as controlling and lowering various risks. This multi-objective decision problem aims to reach goals such as maximization of liquidity, revenue, capital adequacy, and market share subject to financial, legal requirements and institutional policies. This paper models asset and liability management (ALM) in order to show how different managerial strategies affect the financial wellbeing of banks during crisis.

Design/methodology/approach – A goal programming model is developed and applied to two medium-scale Turkish commercial banks with distinct risk-taking behavior. This article brings new evidence on the performance of emerging market banks with different managerial philosophies by comparing asset-liability management in crisis.

Findings – The study has shown how shifts in market perceptions can create trouble during crisis, even if objective conditions have not changed.

Originality/value – The proposed model can provide optimal forecasts of asset-liability components and banks' financial standing for different risk-taking strategies under various economic scenarios. This may facilitate the preparation of contingency plans and create a competitive advantage for bank decision makers.



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