A method for strategic asset-liability management with an application to the Federal Home Loan Bank of New York
成果类型：
Article
署名作者：
Seshadri, S; Khanna, A; Harche, F; Wyle, R
署名单位：
New York University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.47.3.345
发表日期：
1999
页码：
345-360
关键词：
摘要：
Strategic asset-liability management is a primary concern in today's banking environment. In this paper, we present a methodology to assist in the process of asset-liability selection in a stochastic interest rate environment. In our approach, a quadratic optimizer is embedded in a simulation model and used to generate patterns of dividends, market value and duration of capital, for randomly generated interest rate scenarios. This approach can be used to formulate, test, and refine asset-liability strategies. We present results of applying this methodology to data from the Federal Home Loan Bank of New York.