An asset-liability management stochastic program of a leasing company. (English) Zbl 1449.90270

Rusý, Tomáš; Kopa, Miloš

Kybernetika 54, No. 6, 1247-1263 (2018).

Summary: We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which are applied to the model to control risk of the optimal strategy. We also present the structure and the generation process of our scenarios. To capture the evolution of interest rates the Hull-White model is used. Thereafter, results of the model and the effect of the risk constraints on the optimal decisions are thoroughly investigated. In the final part, the performance of the optimal solutions of the problems for unconsidered and unfavourable crisis scenarios is inspected. The methodology of a stress test we used was proposed in such a way that it answers typical questions asked by asset-liability managers.

MSC:

90C15	Stochastic programming
90B50	Management decision making, including multiple objectives
90C31	Sensitivity, stability, parametric optimization
91G10	Portfolio theory

Keywords:

asset-liability management; multi-stage stochastic programming; stress test

Software:

R; GAMS