Asset/liability management under uncertainty for fixed-income securities View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

1995-12

AUTHORS

Stavros A. Zenios

ABSTRACT

Short-sighted asset/liability strategies of the seventies left financial intermediaries — banks, insurance and pension fund companies, and government agencies — facing a severe mismatch between the two sides of their balance sheet. A more holistic view was introduced with a generation ofportfolio immunization techniques. These techniques have served the financial services community well over the last decade. However, increased interest rate volatilities, and the introduction of complex interest rate contingencies and asset-backed securities during the same period, brought to light the shortcomings of the immunization approach. This paper describes a series of (optimization) models that take a global view of the asset/liability management problem using interest rate contingencies. Portfolios containingmortgage-backed securities provide the typical example of the complexities faced by asset/liability managers in a volatile financial world. We use this class of instruments as examples for introducing the models. Empirical results are used to illustrate the effectiveness of the models, which become increasingly more complex but also afford the manager increasing flexibility. More... »

PAGES

77-97

References to SciGraph publications

  • 1989-12. Stochastic network optimization models for investment planning in ANNALS OF OPERATIONS RESEARCH
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/bf02031744

    DOI

    http://dx.doi.org/10.1007/bf02031744

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1030267872


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