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| Author: | Seshadri, S. |
| Title: | A method for strategic asset-liability management with an application to the Federal Home Loan Bank of New York |
| Journal: | Operations Research
1999 : MAY-JUN, VOL. 47:3, p. 345-360 |
| Index terms: | OPERATIONAL RESEARCH STRATEGY MANAGEMENT |
| Language: | eng |
| Abstract: | Strategic asset-liability management is a primary concern in today's banking environment. In this paper, the authors present a methodology to assist in the process of asset- liability selection in a stochastic interest rate environment. In the authors' 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. |
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