An asset-liability management stochastic program of a leasing company

Title:

An asset-liability management stochastic program of a leasing company

Creator:

Rusý, Tomáš and Kopa, Miloš

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:fe8f9af6-9902-4630-8956-f5f3500174cd
uuid:fe8f9af6-9902-4630-8956-f5f3500174cd
doi:10.14736/kyb-2018-6-1247

Subject:

asset-liability management, multi-stage stochastic programming, and stress test

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which are applied to the model to control risk of the optimal strategy. We also present the structure and the generation process of our scenarios. To capture the evolution of interest rates the Hull-White model is used. Thereafter, results of the model and the effect of the risk constraints on the optimal decisions are thoroughly investigated. In the final part, the performance of the optimal solutions of the problems for unconsidered and unfavourable crisis scenarios is inspected. The methodology of a stress test we used was proposed in such a way that it answers typical questions asked by asset-liability managers.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Source:

Kybernetika | 2018 Volume:54 | Number:6

Harvested from:

CDK

Metadata only:

false