Development of ALM tool for non-maturing accounts
Type
industry project
Start Date
April 1, 2004
Status
ongoing
Keywords
Multistage Stochastic Programming
Asset & Liability Management
Risk Management
Non-Maturing Accounts
Term structure model (parameter estimation)
Description
Non-maturing account positions in a bank's balance are dynamically replicated using a multistage stochastic programming model. Scenarios are generated for the relevant risk factors (market rates, client rate, volume). The corresponding stochastic models are calibrated using historic data. A replicating portfolio is determined that minimizes the risk for a measure specified by the decision maker.
Leader contributor(s)
Member contributor(s)
Funder
Method(s)
Multistage Stochastic Programming
Eprints ID
7282
results