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An asset/liability management model of a Federal Intermediate Credit Bank

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  • Hackert, Ann Marie

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.

Suggested Citation

  • Hackert, Ann Marie, 1987. "An asset/liability management model of a Federal Intermediate Credit Bank," ISU General Staff Papers 198701010800009645, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genstf:198701010800009645
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    1. Laurie S. Goodman & Martha J. Langer, 1983. "Accounting for interest rate futures in bank asset‐liability management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(4), pages 415-427, December.
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