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

Pao Yue-kong Library Electronic Theses Database

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
InnoPac Record: http://library.polyu.edu.hk/record=b1205672
URI: http://theses.lib.polyu.edu.hk/handle/200/3460
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.

Files in this item

Files Size Format
b12056728.pdf 3.464Mb PDF
Copyright Undertaking
As a bona fide Library user, I declare that:
  1. I will abide by the rules and legal ordinances governing copyright regarding the use of the Database.
  2. I will use the Database for the purpose of my research or private study only and not for circulation or further reproduction or any other purpose.
  3. I agree to indemnify and hold the University harmless from and against any loss, damage, cost, liability or expenses arising from copyright infringement or unauthorized usage.
By downloading any item(s) listed above, you acknowledge that you have read and understood the copyright undertaking as stated above, and agree to be bound by all of its terms.

     

Quick Search

Browse

More Information