N.Hibiki, T.Fukukawa : A Multi-Goal Programming Model Approach for Financial Risk Management Based on Asset Liability Management(ALM), Second Conference of the Association of Asian-Pacific Operations Research Societies within IFORS, 1991年8月, Proceedings of APORS'91, pp.317−324, 1992.

Abstract
　　The recent financial deregulation and internationalization have extremely influenced banking in Japan. For example, finance on free rate of interest increases than before, BIS (Bank for International Settlements) decides the regulation on risk asset ratio, new financial tools off the balance sheet develops rapidly, and so on. Formerly the credit risk was the main risk on banking, however other financial risk have increased under the influence of the financial deregulation and internationalization. Therefore financial risk management comes to very important. We consider risk management based on ALM (Asset Liability Management), which is a risk management method on banking. Then we propose a model approach. Multi-goal programming is applied to the model, in order to manage the trade-off between profit and risk. Several numerical cases are analyzed so as to investigate the performance of the approach. The results presented are so remarkably good that the model provides a very real advance over previously reported models.