文档介绍：Asset-Liability Management (ALM) using
Stochastic Programming (SP)
By Mehndi Pirbhai.
Mehndi Pirbhai is a PhD research student in the Department of
Mathematical Sciences, BRUNEL University. He is working with
Professor Gautam Mitra in the field of financial models & risk
management.
“A banker is a fellow who lends you his umbrella when the sun is shining and wants it
back the minute it begins to rain”. (Mark Twain)
Scope
This white paper sets out to explain an important financial planning model called the
asset liability management (ALM); in particular it discusses why in practice,
optimum planning models are used. The ability to build an integrated approach which
combines liability models with that of asset allocation decisions have proved desirable
and more efficient in that it can lead to better ALM decisions. The role of uncertainty,
and quantification of risk in these planning models is considered. This white paper
will be of interest to corporate treasurers, to fund managers in the pension &
insurance industry, and to analysts who support ALM models in different financial
institutions.
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CONTENTS
• ALM: An Introduction
• An Optimisation Approach
• ALM models: Optimum Hedged Decisions under
Uncertainty
• Risks faced by Financial Institutions & Risk
Quantification
• Past, Present & Future: A decision-making
Perspective
• Model Based-applications of ALM
• What is available on the market
• Concluding Remarks
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ALM: An Introduction
Many financial systems in the corporate as well as individual context are underpinned
by a cash flow balancing (also called matching) activity. At an individual level
typically a young professional may set up savings after child birth as he or she goes
through the schools systems. T