Finance White Papers
High Performance Computing for Asset Liability Management
Overview Financial institutions require sophisticated tools for risk management. For company-wide risk management both sides of the balance sheet should be considered, resulting in an integrated asset liability management approach. Stochastic programming models suit these needs well and have already been applied in the field of asset liability management to improve financial operations and risk management. The dynamic aspect of the financial planning problems inevitably leads to multiple decision stages (trading dates) in the stochastic program and results in an explosion of dimensionality. This paper shows that dedicated model generation, specialized solution techniques based on decomposition and high performance computing are the essential elements to tackle these large scale financial planning problems.
| Publisher | University of Edinburgh | File Format | |
|---|---|---|---|
| Date Published | March 2000 | ||
| Format | White Papers | ||
| Topics | |||
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