The application of Goal programming in asset and debt management.

Asset and Liability Management (ALM) is one of the most important tools that senior executives of a bank, including the CEO and the board of directors, should consider in monitoring and controlling the financial health and enhancing the financial capability of the bank. This article presents a mathematical optimization model based on Goal programming (GP), with an emphasis on the most crucial pillar of optimizing the operational allocation of the balance sheet structure in banks. The considered constraints in the model take into account the importance of regulatory laws and regulations approved by the Monetary and Credit Council and communicated by the Central Bank to the banking network within the key constraints of linear programming in the model. The results obtained from this article emphasize that liquidity Goal constraint and regulatory Goal constraint have a significant and effective impact on improving the balance sheet management structure of banks and reducing liquidity risk.