Asset and Liability Risk Management in Financial Markets

Armando Nieto (), Angel Juan and Renatas Kizys ()
Additional contact information
Armando Nieto: Universitat Oberta de Catalunya and Divina Pastora Seguros, IN3 – Computer Science Department
Renatas Kizys: University of Southampton, Southampton Business School

A chapter in Mindful Topics on Risk Analysis and Design of Experiments, 2022, pp 3-17 from Springer

Abstract: 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.

Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-06685-6_1

Ordering information: This item can be ordered from
http://www.springer.com/9783031066856

DOI: 10.1007/978-3-031-06685-6_1

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().