AN ASSET - LIABILITY MANAGEMENT STOCHASTIC PROGRAM OF A LEASING COMPANY

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/61989100:27510/18:10241318

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

AN ASSET - LIABILITY MANAGEMENT STOCHASTIC PROGRAM OF A LEASING COMPANY

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

AN ASSET - LIABILITY MANAGEMENT STOCHASTIC PROGRAM OF A LEASING COMPANY

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA17-19981S" target="_blank" >GA17-19981S: Finanční aplikace stochastického uspořádání</a><br>

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Kybernetika

ISSN

0023-5954

e-ISSN

—

Svazek periodika

54

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

17

Strana od-do

1247-1263

Kód UT WoS článku

000457070200011

EID výsledku v databázi Scopus

2-s2.0-85064219758