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Seminários do IMPA

Métodos Matemáticos em Finanças

ALM Modeling & Balance Sheet Optimization in Financial Institutions
Diogo Gobira

Market Risk Manager at BNDES | ALM, MathFin and Programming Teacher at Financial Risk Academy
Quarta-feira, 4 de julho de 2018, 17:30
Sala 232

In many areas, the use of advanced mathematical tools is not a mere choice of managers, but a matter of survival. In the financial sector, this is manifested in problems of pricing of financial instruments, risk management, portfolio selection and, at a more aggregated level, in the optimal balance sheet management under a wide set of operational and regulatory restrictions. In this seminar, we will show how this last problem can be expressed in terms of a large-scale multi-stage stochastic optimization model, and we will present some items that make up the toolbox of professionals working in this area, and some of the main challenges we face in real world implementations.