A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10438218" target="_blank" >RIV/00216208:11320/21:10438218 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Sa7J.kPkQr" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Sa7J.kPkQr</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10479-020-03583-y" target="_blank" >10.1007/s10479-020-03583-y</a>

Jazyk výsledku

angličtina

Název v původním jazyce

A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision

Popis výsledku v původním jazyce

In this study, we present a stochastic programming asset-liability management model which deals with decision-dependent randomness. The model focuses on a pricing problem and the subsequent asset-liability management problem describing the typical life of a consumer loan. Such problems are frequently tackled by many companies, including multinationals. When doing so, they must consider numerous factors. These factors include the possibility of their customer rejecting the loan, the possibility of the customer defaulting on the loan and the possibility of prepayment. The randomness associated with these factors have a clear relationship with the offered interest rate of the loan which is the company&apos;s decision and thus, induces decision-dependent randomness. Another important factor, which plays a major role for liabilities, is the price of money in the market. This is determined by the market interest rates. We captured their evolution in the form of a scenario tree. In summary, we formulated a non-linear, multi-stage stochastic program with decision-dependent randomness, which spanned the lifetime of a typical consumer loan. Its solution showed us the optimal decisions that the company should make. In addition, we performed a sensitivity analysis demonstrating the results of the model for various parameter settings that described different types of customers. Finally, we discuss the losses caused if companies do not act in the optimal way.

Název v anglickém jazyce

A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision

Popis výsledku anglicky

In this study, we present a stochastic programming asset-liability management model which deals with decision-dependent randomness. The model focuses on a pricing problem and the subsequent asset-liability management problem describing the typical life of a consumer loan. Such problems are frequently tackled by many companies, including multinationals. When doing so, they must consider numerous factors. These factors include the possibility of their customer rejecting the loan, the possibility of the customer defaulting on the loan and the possibility of prepayment. The randomness associated with these factors have a clear relationship with the offered interest rate of the loan which is the company&apos;s decision and thus, induces decision-dependent randomness. Another important factor, which plays a major role for liabilities, is the price of money in the market. This is determined by the market interest rates. We captured their evolution in the form of a scenario tree. In summary, we formulated a non-linear, multi-stage stochastic program with decision-dependent randomness, which spanned the lifetime of a typical consumer loan. Its solution showed us the optimal decisions that the company should make. In addition, we performed a sensitivity analysis demonstrating the results of the model for various parameter settings that described different types of customers. Finally, we discuss the losses caused if companies do not act in the optimal way.

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/GA18-05631S" target="_blank" >GA18-05631S: Stochastické optimalizační úlohy s endogenní nejistotou</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Annals of Operations Research

ISSN

0254-5330

e-ISSN

—

Svazek periodika

299

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

31

Strana od-do

241-271

Kód UT WoS článku

000522924400001

EID výsledku v databázi Scopus

2-s2.0-85083223137