Asset and liability risk management in financial markets
Asset and liability risk management in financial markets
Most financial organisations depend on their ability to match the assets and liabilities they hold. This managerial challenge has been traditionally modelled as a series of optimisation problems, which have been mostly solved by using exact methods such as mathematical and stochastic programming. The chapter reviews the main works in this area, with a special focus on three different problems: duration immunisation, multi-stage stochastic programming, and dynamic stochastic control. Hence, the main results obtained so far are analysed, and the open challenges and limitations of the current methods are identified. To deal with these open challenges, we propose the incorporation of new heuristic-based algorithms and simulation-optimisation methods.
3-17
Nieto, Armando
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Juan, Angel A.
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Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
21 May 2022
Nieto, Armando
8d1369e2-a1cc-4091-9f3b-375269336d6b
Juan, Angel A.
f8b5781e-704e-4699-9841-97ddab494d8d
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Nieto, Armando, Juan, Angel A. and Kizys, Renatas
(2022)
Asset and liability risk management in financial markets.
Pilz, Jürgen, Oliveira, Teresa A., Moder, Karl and Kitsos, Christos P.
(eds.)
In Mindful Topics on Risk Analysis and Design of Experiments: Selected contributions from ICRA8, Vienna 2019.
Springer Cham.
.
(doi:10.1007/978-3-031-06685-6_1).
Record type:
Conference or Workshop Item
(Paper)
Abstract
Most financial organisations depend on their ability to match the assets and liabilities they hold. This managerial challenge has been traditionally modelled as a series of optimisation problems, which have been mostly solved by using exact methods such as mathematical and stochastic programming. The chapter reviews the main works in this area, with a special focus on three different problems: duration immunisation, multi-stage stochastic programming, and dynamic stochastic control. Hence, the main results obtained so far are analysed, and the open challenges and limitations of the current methods are identified. To deal with these open challenges, we propose the incorporation of new heuristic-based algorithms and simulation-optimisation methods.
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Published date: 21 May 2022
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© The Author(s), under exclusive license to Springer Nature Switzerland AG 2022. All rights reserved.
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Local EPrints ID: 491965
URI: http://eprints.soton.ac.uk/id/eprint/491965
PURE UUID: bab86feb-1f95-4afc-9665-02f4583e8e10
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Date deposited: 09 Jul 2024 17:35
Last modified: 12 Jul 2024 02:04
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Contributors
Author:
Armando Nieto
Author:
Angel A. Juan
Editor:
Jürgen Pilz
Editor:
Teresa A. Oliveira
Editor:
Karl Moder
Editor:
Christos P. Kitsos
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