Performance Comparison of Scenario-Generation Methods Applied to a Stochastic Optimization Asset-Liability Management Model

Oliveira, Alan Delgado de; Filomena, Tiago Pascoal; Righi, Marcelo Brutti

doi:10.1590/0101-7438.2018.038.01.0053

Cited by 4 publications

(4 citation statements)

References 52 publications

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“…Oliveira et al [124] have used Multistage Stochastic Planning for ALM and presented two different approaches. In the following, this paper has evaluated the impact of these approaches on the goal function using classical Monte Carlo Sampling and Moment Matching methods.…”

Section: Kosmidou and Zopounidismentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance sheet. Most of the studies `and proposed models in the ALM field are based on an objective function that maximizes bank profit. It is not easy to apply changes in these models in order to reach the optimal values of the parameters in the balance sheet. In this article, an attempt has been made to propose a linear model using constraints to achieve optimal values of balance sheet parameters using ALM objectives and considering balance sheet, system and regulatory constraints. It has also been tried to design the model according to the most possible mode and with the least changes and to minimize the size of the balance sheet. The analysis of the model presented in this article has been conducted using the parameters of the balance sheet and income statement of one of the famous Iranian banks. The results obtained from the proposed model show that the values of cash and receivables from banks and other credit institutions have decreased by 30% and increased by 200%, respectively, compared to the actual values of these parameters. Also, Total Income, Operating Income and Non-Operating Income have grown by 30% compared to the actual values of these parameters. Also, the values of a number of parameters are estimated to be zero after optimization. According to the results, it is obvious that the performance of bank managers, especially in the management of bank assets, is significantly different from the optimal values of the balance sheet, and the results obtained from the proposed model can help the management of banks as much as possible.

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Section: Kosmidou and Zopounidismentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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“…There are several approaches to identify the scenarios, from an empirical approach based on the own level of expertise to the statistical methods, such as Monte Carlo sampling or First Two Moments sampling techniques [8]. Some research papers proposed the taxonomy of scenario development.…”

Section: Motivation For the Researchmentioning

confidence: 99%

Elaborating Validation Scenarios Based on the Context Analysis and Combinatorial Method: Example of the Power-Efficiency Framework Innomterics

et al. 2020

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The preliminary task of a project consists of the definition of the scenarios that will guide further development work and validate the results. In this paper, we present an approach for the systematic generation of validation scenarios using a specifically developed taxonomy and combinatorial testing. We applied this approach to our research project for the development of the energy-efficiency evaluation framework named Innometrics. We described in detail all steps for taxonomy creation, generation of abstract validation scenarios, and identification of relevant industrial and academic case studies. We created the taxonomy of the target computer systems and then elaborated test cases using combinatorial testing. The classification criteria were the type of the system, its purpose, enabling hardware components and connectivity technologies, basic design patterns, programming language, and development lifecycle. The combinatorial testing results in 13 cases for one-way test coverage, which was considered enough to create a comprehensive test suite. We defined the case study for each particular scenario. These case studies represent the real industrial, educational, and open-source software development projects that will be used in further work on the Innometrics project.

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“…In a first stage, strategic allocation can be made in the different asset and risk classes allowed by the rules and policies of these institutions. For example, active and passive management techniques can be adopted, such as asset liability management (ALM) and liability driven investment (LDI) (Bogentoft et al, 2001;Hibiki, 2006;Mitra & Medova, 2010;Oliveira et al, 2017Oliveira et al, , 2018. After this strategic directioning regarding allocation into different asset types, it is necessary to specify the specific assets for allocating resources from among the infinity of alternatives in the fixed income and stock markets available in the financial market.…”

Section: Introductionmentioning

confidence: 99%

“…Active and passive management strategies, such as ALM, LDI, or goal-based investment (GBI), which aim to increase the probability of achieving goals (Nevins, 2004), guide pension fund managers regarding the classes and characteristics of the assets that should compose their portfolios and regarding the liquidity needed in each period, as well as the approach toward the risk of not achieving the defined goal, also considering the profile and characteristics of the clients (Mitra & Medova, 2010;Oliveira et al, 2017Oliveira et al, , 2018. However, they do not specify in which specific assets to allocate resources from among those available in the financial market, summarizing in a few assets the infinity of financial instruments, such as the studies of Correia et al (2018), Saad andRibeiro (2004), andSilva et al (2015), which perform the optimization of Brazilian pension fund portfolios by applying ALM, considering asset classes, primarily fixed income in the first two, including fixed income and stock (Correia et al, 2018) and with the addition of structured assets, foreign assets, real estate, and operations with participants (Silva et al, 2015).…”

Section: Introductionmentioning

confidence: 99%

Investment fund selection techniques from the perspective of Brazilian pension funds

Paula

Iquiapaza

2022

Rev. contab. finanç.

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The aim of this article was to evaluate the effectiveness of investment fund selection techniques from the perspective of Brazilian pension funds. Asset liability management (ALM) and liability driven investment (LDI) strategies are usually adopted to guide pension fund managers in relation to strategic allocation in asset classes that should compose their investment portfolios and to the liquidity needed in each period, but not specifying in which assets to allocate resources from among the infinity of assets available in the financial market. This article contributes to tactical management in the fixed income and stock segments outsourced via funds and demonstrates that adopting simple indicators can increase investment performance. The article broadens the knowledge on pension fund investment decisions and creates confidence in the adoption of the Sharpe ratio as a technique for choosing investment funds. We analyzed the returns obtained by hypothetical portfolios built using the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We considered information on 369 funds from 2013 to 2018, adopting 12 temporal windows for choosing and re-evaluating the portfolios. The returns obtained were compared with the mean actuarial goal of the benefits plans administered by the pension funds, by means of the unplanned divergence (UD). When outsourcing pension fund investments in fixed income and stock investment funds it was verified that the Sharpe ratio contributes significantly to pension fund performance, compared with other indicators and techniques or a combination of them.

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Performance Comparison of Scenario-Generation Methods Applied to a Stochastic Optimization Asset-Liability Management Model

Cited by 4 publications

References 52 publications

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Elaborating Validation Scenarios Based on the Context Analysis and Combinatorial Method: Example of the Power-Efficiency Framework Innomterics

Investment fund selection techniques from the perspective of Brazilian pension funds

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