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| Identificatore numerico | 2123 |
| Identificatore completo | BlackTelmer00 |
| Autore/i | Black, R.; Telmer, C.R. |
| Anno | 2000 |
| Titolo | Liability Management Using Dynamic Portfolio Strategies |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | Canada Ministry of Finance, Working papers, 2000-01 Web Download. |
| Keywords | ALMS - Dynamic stochastic programming; Gestione debito - Dynamic stochastic programming |
| Abstract | Many institutions issue debt in both short-term markets, which implies frequent rebalancing, and long-term bond markets, which typically pay a higher coupon. The liability manager must consider this risk/cost trade-off in the face of uncertain interest rates and funding requirements. The debt management problem is characterized by long time horizons. Standard implementations of common risk management tools that do not account for portfolio effects are not suitable. This paper couples dynamic portfolio strategies with scenario generation in a simulation methodology to determine how the costs and risks of a liability portfolio evolve over time. The design of a simplified government debt program is used to illustrate the benefits of dynamic portfolio strategies. |
| Importanza | media |
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