A robust asset and liability management model with empirical analysis

MaRDI QIDQ3170962zbMATHFDO

Authors Dan Wu

Publication date 29 September 2011

zbMATH Keywords

robust optimizationstochastic programmingempirical analysisasset and liability management

Mathematics Subject Classification ID

Stochastic programming (90C15) Corporate finance (dividends, real options, etc.) (91G50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(7)

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• Asset and liability management: Recent advances
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• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• A robust asset-liability management framework for investment products with guarantees
• Linking strategic and tactical planning systems for asset and liability management
• A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision

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