You are not currently logged in.
Access JSTOR through your library or other institution:
A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York
S. Seshadri, A. Khanna, F. Harche and R. Wyle
Vol. 47, No. 3 (May - Jun., 1999), pp. 345-360
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/223107
Page Count: 16
You can always find the topics here!Topics: Balance sheets, Bank loans, Mortgage loans, Interest rates, Bank liabilities, Simulations, Cash flow, Financial instruments, Bank assets, Investment risk
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Preview not available
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.
Operations Research © 1999 INFORMS