Responses to Volatile Capital Flows: Controls, Asset Liability Management and Architecture

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...

An Alternative Approach to Asset-Liability Management

Traditionally, the potential financial impact of interest rate movements has been evaluated through duration measures or through computer simulations. The duration measure approach is analytical, and focuses on changes in market value; the computer simulation approach is computational and focuses on income statement and balance sheet impacts. In this paper a complementary approach for projectin...

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...

The Stochastic Programming Approach to Asset, Liability and Wealth Management

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...