Banking Risks in the Asset and Liability Management System

Global Asset Liability Management

Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate the evolution over time of financial models of funds, complex liabilities and entire firms. Although of increasing popularity, the drawback of DFA is the dearth of systematic methods for optimising model parameters for strategic financial planning. This paper introduces strategic DFA which employs t...

Combining System Dynamics and Asset-Liability Management in Pension Funds

System dynamics (SD) may amplify asset and liability management (ALM) methodology capability to be risk oriented. Therefore, this paper aims to apply SD principles to ALM models, in the specific case of pension funds. Conceptual issues assigned to ALM variables are described and a dynamic ALM approach, based on SD general principles and risk factors, is then examined. Risk must be defined in ta...

An Asset and Liability Management System for Towers Perrin-Tillinghast

Massively Parallel Asset and Liability Management

Multistage Stochastic Programming is a popular method to solve financial planning problems such as Asset and Liability Management (ALM). The desirability to have future scenarios match static and dynamic correlations between assets leads to problems of truly enormous sizes (often reaching tens of millions of unknowns or more). Clearly parallel processing becomes mandatory to deal with such prob...

Asset liability management for individual households

Personal finance is a challenging topic which can benefit from a scientific approach to individual financial planning. This paper presents an individual asset liability management (iALM) model for life cycle planning which uses the methodology of dynamic stochastic optimisation and incorporates ideas from both classical and behavioural finance. Its implementation is in the form of a decision su...