Computational Techniques for Banking and Risk Management


C. Zopounidis (Editor)
M. Doumpos (Editor)

Series: Studies in Financial Optimization and Risk Management
BISAC: BUS004000

The last decades have been strongly characterized by vertiginous technological, social and economic changes. Those changes have in part positively affected our lives; however they also led to an increasing uncertainty and instability at every field of human activity. In addition, the interdependence and the interrelationship among various fields and especially between the global financial markets have created a fragile environment, which requires delicate handling and attentive movements. Thus the complexity of the systems considered in every field, nowadays, more than ever, needs the skillful manipulation of the known methodologies and techniques for the best management.

Research and development give emphasis on the computational optimization as an essential, critical component. At every field of human activity, optimization is more than important. Everybody tries to optimize, minimize or maximize the cost, profit, efficiency, output. In the area of economics and finance, simple and more complex tools have been created towards this direction. Different methodologies and analytical techniques have been developed to analyze a vast number of problems such as risk management, asset pricing, portfolio construction, forecasting, interest rate modeling, capital measurement, efficiency estimation, investment evaluation, business failure, etc.

This volume aims to highlight some of the aforementioned aspects, referring to methodologies and applications to computational economics and finance, and it is consisted of papers published in the third volume of the Journal of Computational Optimization in Economics and Finance.

The contents of this volume are varying, covering a wide range of topics, such as credit risk simulation, capital measurement methods, bank efficiency, cash withdrawals forecasting, service quality evaluation, among others. (Imprint: Nova)



Table of Contents


A Control Systems Approach for Credit Risk Simulation and Control of a Loan Portfolio
(J. Leventides, S. Stavraki, Ch. Pandis, Department of Economics, University of Athens, Pesmazoglou, Athens, Greece, and others)

Money Laundering (ML) Policies in the Greek Banking Sector and Perspectives Related to an Effective Confrontation Framework
(Christos Lemonakis, Michalia Kadianaki, Constantin Zopounidis, Department of Production Engineering and Management, Technical University of Crete, Chania, Greece, and others)

On the Nelson-Siegel and Gamtaux Yield Curve Models
(Polychronis Manousopoulos, Michalis Michalopoulos, Bank of Greece, Athens, Greece)

Mean Variance Portfolio Selection Subject to Value-at-Risk Constraints Applied to Real Stock Market Data
(F. Hamza, M. El Kharrim, M. El hachloufi, Université Abdelmalek Essaâdi, Faculté des Sciences Juridiques, Economiques et Sociales – Tanger, Département d’Economie, Economie Mathématique et Décision Dans l’Incertain)

Evaluation of Bank Efficiency with the DEA Approach: A Comparison of European Commercial Banks
(Ioanna Sfinga, Dimitrios Niklis, Msc Business Economics, Finance and Banking, University of Portsmouth, UK, and others)

Cash Withdrawals Forecasting by Neural Networks
(Ioanna G. Atsalaki, George S. Atsalakis, Constantinos D. Zopounidis, Department of Business Administration of Food and Agricultural Products, University of Western Greece, Agrinio, Greece, and others)

Computing Optimality Conditions in Economic Problems
(George E. Halkos, Kyriaki D. Tsilika, Department of Economics, University of Thessaly, Korai, Volos, Greece)

Measuring Workflow Knowledge-Base Effectiveness for an <i>In-House</i> Banking Customer Service Call Center
(Angelos Karakerezis, Konstantinos Nakos, Household Lending Business Unit, EFG Eurobank Ergasias SA, Credit Control Sector – International Subsidiaries Division, EFG Eurobank Ergasias SA)

A Comparison of Alternative Methodologies for Credit Risk Evaluation
(Dimitrios Niklis, Michael Doumpos, Chrysovalantis Gaganis, Technical University of Crete, Department of Production Engineering and Management, Financial Engineering Laboratory, Greece, and others)

Α Service Quality Evaluation Method in the Tourism Industry Based on Multicriteria Analysis
(Marianna Tsitsiloni, Evangelos Grigoroudis, Constantin Zopounidis, Technical University of Crete, Decision Support Systems Laboratory, University Campus, Kounoupidiana, Chania, Greece, and others)


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