Asset and liability management: A stochastic control approach

资产和负债管理：随机控制方法

• 批准号: RGPIN-2016-05677
• 负责人: Shen, Yang
• 金额: $ 1.46万
• 依托单位: York University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=635675
• 关键词: Asset; liability; management; stochastic; control

Imagine that an institutional investor manages a business or an individual investor faces the problem of life-cycle planning so that assets are well invested to cover liabilities. Asset and liability management (in short, ALM) is a general concept of coordinating assets and liabilities in a unified framework. It is at the crossroads between risk management and strategic planning. ALM is not only about hedging or mitigating the underlying risks but is focused on boosting the long-term returns. Indeed, the modern view of the ALM programs is to balance the relationships among risks, costs and returns.

想象一下，管理一家企业的机构投资者或个人投资者面临生命周期规划的问题，以便充分投资资产以偿还负债。资产负债管理（简称ALM）是在统一框架内协调资产和负债的总体概念。它处于风险管理和战略规划的十字路口。 ALM 不仅是为了对冲或减轻潜在风险，还着眼于提高长期回报。事实上，ALM 计划的现代观点是平衡风险、成本和回报之间的关系。