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| Tekijä: | |
| Otsikko: | A method for strategic asset-liability management with an application to the Federal home loan bank of New York |
| Lehti: | Operations Research
1999 : MAY-JUN, VOL. 47:3, p. 345-360 |
| Asiasana: | BANKING ASSETS LIABILITY MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | This study presents a methodology to assist in the process of asset-liability selectioon in a stochastic interest rate environment. A quadratic optimizer is embedded in a simulation model and used to generate patterns of dividends, market value and duration of captial, for randomly generated interest rate scenarios. The approach cuold be used to formulate, test and refine asset-liability strategies. |
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