A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York | Zendy

Sridhar Seshadri | Zendy; Ajay Khanna | Zendy; F. Harche | Zendy; R. Wyle | Zendy

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A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York

Author(s) -

Sridhar Seshadri,

Ajay Khanna,

F. Harche,

R. Wyle

Publication year - 1999

Publication title -

operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 3.797

H-Index - 140

eISSN - 1526-5463

pISSN - 0030-364X

DOI - 10.1287/opre.47.3.345

Subject(s) - liability , loan , asset (computer security) , dividend , interest rate , business , actuarial science , finance , economics , computer science , computer security

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.

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