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Asset and Liability Risk Management in Financial Markets

In: Mindful Topics on Risk Analysis and Design of Experiments

Author

Listed:
  • Armando Nieto

    (Universitat Oberta de Catalunya and Divina Pastora Seguros, IN3 – Computer Science Department)

  • Angel A. Juan

    (Universitat Politècnica de València, Department of Applied Statistics and Operations Research)

  • Renatas Kizys

    (University of Southampton, Southampton Business School)

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.

Suggested Citation

  • Armando Nieto & Angel A. Juan & Renatas Kizys, 2022. "Asset and Liability Risk Management in Financial Markets," Springer Books, in: Jürgen Pilz & Teresa A. Oliveira & Karl Moder & Christos P. Kitsos (ed.), Mindful Topics on Risk Analysis and Design of Experiments, pages 3-17, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-06685-6_1
    DOI: 10.1007/978-3-031-06685-6_1
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