A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York
Published Online:1 Jun 1999https://doi.org/10.1287/opre.47.3.345
References
- Bank Administration InstituteAsset Liability Measurement Techniques (1987) (Bank Administration Institute, IL) Google Scholar
- Risk, return, and utility. Management Sci. (1995) 41(1):23–30Link, Google Scholar
- , Ziemba W. T., Mulvey J. M. Asset liability management for individual investors. Worldwide Asset and Liability Modeling (1998) (Cambridge University Press, Cambridge, UK) Google Scholar
- Duration: Its development and use in bond portfolio management. Financial Anal. J. (1983) 39:15–35Crossref, Google Scholar
- A hybrid simulation/optimization scenario model for asset/liability management. Eur. J. Oper. Res. (1997) 99(1):126–135Crossref, Google Scholar
- An interest rate risk in management model for commercial banks. Eur. J. Oper. Res. (1994) 74:243–256Crossref, Google Scholar
- The Russell-Yokuda Kasai model: An asset/liability model for a Japanese insurance company using multistage stochastic programming. Interfaces (1994) 24(1):29–49Link, Google Scholar
- CSF Boston (1994) . Equity research—Americas: Commercial banks and asset/liability management: A critical competitive challenge. Report by T. H. Henley, P. J. Carter, New YorkGoogle Scholar
- , Ziemba W. T., Mulvey J. M. The development of the midas debt management system. Worldwide Asset and Liability Modeling (1998) (Cambridge University Press, Cambridge, UK) Google Scholar
- Modern Portfolio Theory and Investment Analysis (1991) (John Wiley & Sons, New York) Google Scholar
- Bond Markets, Analysis and Strategies (1993) 2nd ed.(Prentice Hall, Englewood Cliffs, NJ) Google Scholar
- Coping with the risk of interest rate fluctuations: Returns to bondholders from naive and optimal strategies. J. Bus. (1971) October):408–431Crossref, Google Scholar
- On duration and the optimal maturity structure of the balance sheet. Bell J. Econom. Management Sci. (1974) 5:696–709Crossref, Google Scholar
- Commercial banks and asset/liability management: A critical competitive challenge. (1994) . CS First Boston Bank Equity Research report BK0792, Boston, MAGoogle Scholar
- Key rate durations: Measures of interest rate risks. J. Fixed Income (1992) September):29–44Crossref, Google Scholar
- Options, Futures, and Other Derivative Securities (1993) 2nd ed.(Prentice Hall, Englewood Cliffs, NJ) Google Scholar
- Derivative Securities (1996) (Southwestern College Publications, Cincinnati, OH) Google Scholar
- A standard measure of risk and risk-value models. Management Sci. (1995) 42(12):1691–1705Link, Google Scholar
- Common factors affecting bond returns. J. Fixed Income (1991) 1(1):54–61Crossref, Google Scholar
- Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Prices in the U.S. Since 1856 (1938) (Columbia University Press, New York) Google Scholar
- Portfolio selection. J. Finance (1952) 7:77–91Google Scholar
- A surplus optimization perspective. Investment Management Rev. (1989) 3:31–39Google Scholar
- Capturing the correlations of fixedincome instruments. Management Sci. (1994) 40:1329–1342Link, Google Scholar
- , Birge J. M., Murty K. G. Financial planning via multi-stage stochastic programs. Mathematical Programming: State of the Art 1994 (1994) (The University of Michigan, Ann Arbor, MI) Google Scholar
- Generating scenarios for the Towers Perrin investment system. Interfaces (1996) 26(2):1–15Link, Google Scholar
- Office of Thrift SupervisionThe OTS Net Portfolio Value Model (1989) (Risk Management Division, Office of Thrift Supervision, Washington, DC) Google Scholar
- Duration measures, immunization, and utility maximization. J. Banking Finance (1993) 17:689–707Crossref, Google Scholar
- Risk Metrics (1994) . J. P. Morgan, New YorkGoogle Scholar
- Financial Institutions Management: A Modern Perspective (1994) 1st ed.(Irwin, Boston, MA) Google Scholar
- Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance (1964) 19:425–442Google Scholar
- Liquidity preference as behavior toward risk. Rev. Econom. Stud. (1958) 25:65–86Crossref, Google Scholar
- More on a stochastic asset model for actuarial use. Institute of Actuaries and Faculty of Actuaries (1995) Google Scholar
- Financial Optimization (1993) (Cambridge University Press, Cambridge) Crossref, Google Scholar
- Worldwide Asset and Liability Modeling (1998) (Cambridge University Press, Cambridge, UK) Google Scholar

