Non-immunization and Living Even Better: New Asset-liability Management Strategy
Date Issued
2008
Date
2008
Author(s)
Shih, Hau-Ji
Abstract
This study firstly develops a new ALM model that simultaneously takes into account three important factors, the managers’ view, the financial institution’s ability to take risk, and the adjustment costs of ALM. Unlike models of naïve immunization strategy, our new ALM model not only offers an analytical formula to calculate the optimal duration gap for practical uses (an optimal non-immunization strategy), but also provides economic explanations for a wide range of ALM behaviors. In addition, multi-period simulations based on this new ALM model integrate price risk and credit risk, and shed insights on the government’s supervisory guidance, opportunity cost of conflicting corporate policies, and liquidity effect.
Subjects
Asset-liability Management
Interest Rate Risk
Immunization
Duration Gap
Price Risk
Credit Risk
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-97-R95723093-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):615ce2fa69590623ed0f8d0aa9824ab4