Degree Type
Dissertation
Date of Award
1987
Degree Name
Doctor of Philosophy
Department
Economics
First Advisor
Michael Boehlje
Second Advisor
Arne Hallam
Abstract
Federal Intermediate Credit Banks (FICBs) provide short and intermediate term credit to agricultural producers. The asset/liability management technique used to eliminate interest rate risk exposure at the institutions consists of variable rate loan pricing;The asset and liability activities of an individual bank are modeled using portfolio theory and the technique of quadratic programming. A series of efficient frontiers is generated indicating the risk minimizing combination of asset and liability activities;The issue of interest rate risk management is also examined with a duration model measuring the pattern of interest rate changes between the asset and liability side of the balance sheet. Asset and liability durations are calculated and the duration gap reviewed.
DOI
https://doi.org/10.31274/rtd-180813-8666
Publisher
Digital Repository @ Iowa State University, http://lib.dr.iastate.edu/
Copyright Owner
Ann Marie Hackert
Copyright Date
1987
Language
en
Proquest ID
AAI8805076
File Format
application/pdf
File Size
322 pages
Recommended Citation
Hackert, Ann Marie, "An asset/liability management model of a Federal Intermediate Credit Bank " (1987). Retrospective Theses and Dissertations. 8646.
https://lib.dr.iastate.edu/rtd/8646
