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AN ASSET - LIABILITY MANAGEMENT STOCHASTIC PROGRAM OF A LEASING COMPANY

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F18%3A10401751" target="_blank" >RIV/00216208:11320/18:10401751 - isvavai.cz</a>

  • Alternative codes found

    RIV/61989100:27510/18:10241318

  • Result on the web

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=B2LKaMkq~_" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=B2LKaMkq~_</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.14736/kyb-2018-6-1247" target="_blank" >10.14736/kyb-2018-6-1247</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    AN ASSET - LIABILITY MANAGEMENT STOCHASTIC PROGRAM OF A LEASING COMPANY

  • Original language description

    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.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    10103 - Statistics and probability

Result continuities

  • Project

    <a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>

  • Continuities

    S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Kybernetika

  • ISSN

    0023-5954

  • e-ISSN

  • Volume of the periodical

    54

  • Issue of the periodical within the volume

    6

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    17

  • Pages from-to

    1247-1263

  • UT code for WoS article

    000457070200011

  • EID of the result in the Scopus database

    2-s2.0-85064219758