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%2F61989100%3A27510%2F18%3A10241318" target="_blank" >RIV/61989100:27510/18:10241318 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/18:10401751
Result on the web
<a href="https://doi.org/10.14736/kyb-2018-6-1247" target="_blank" >https://doi.org/10.14736/kyb-2018-6-1247</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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
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
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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