Development of a decision support system to manage interest rate mismatch in banks

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Development of a decision support system to manage interest rate mismatch in banks


Author: Leung, Pak-chuen
Title: Development of a decision support system to manage interest rate mismatch in banks
Degree: M.Sc.
Year: 1995
Subject: Interest rates
Decision support systems
Hong Kong Polytechnic University -- Dissertations
Department: Dept. of Computing
Pages: 1 v. (various pagings) : ill. ; 30 cm
Language: English
Abstract: This research provides a detail study of the application of decision support system (DSS) in the treasury area of banking industry. The problem domain is confined to the interest rate mismatch (IRM) management of bank treasury. The goal under study is to provide decision support to bank management for determining the appropriate IRM between the assets and liabilities structure to reduce interest rate risk of the bank under different interest rate scenarios. A DSS prototype is developed to give recommendations for the gapping and the interest rate hedging products for different interest rate movements. A case based reasoning approach is chosen after some in depth literature reviews. Knowledge is acquired mainly from experienced treasury dealers, financial controllers and general management of three different banks. Because of limited choice of softwares, a frame based expert shell is used for the prototype development. Users are then invited to use and evaluate the prototype. Basically, the prototype system fulfills the basic functions of a case based reasoning system although not much interface with external systems is provided. The system provides consistency, effectiveness and better quality of decision making in the IRM management. It is demonstrated that IRM knowledge can be cumulated, retained and reused for IRM decision makings using the prototype system.

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