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

Language

en

Proquest ID

AAI8805076

File Format

application/pdf

File Size

322 pages

Share

COinS