Method for strategic asset-liability management with an application to the Federal Home Loan Bank of New York

S. Seshadri, A. Khanna, F. Harche, R. Wyle

Research output: Contribution to journalArticlepeer-review

Abstract

Strategic asset-liability management is a primary concern in today's banking environment. In this paper, we present a methodology to assist in the process of asset-liability selection in a stochastic interest rate environment. In our approach, a quadratic optimizer is embedded in a simulation model and used to generate patterns of dividends, market value and duration of capital, for randomly generated interest rate scenarios. This approach can be used to formulate, test, and refine asset-liability strategies. We present results of applying this methodology to data from the Federal Home Loan Bank of New York.

Original languageEnglish (US)
Pages (from-to)345-360
Number of pages16
JournalOperations Research
Volume47
Issue number3
DOIs
StatePublished - Jan 1 1999
Externally publishedYes

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research

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