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Stochastic Programming Problems in Asset-Liability Management
Rusý, Tomáš ; Kopa, Miloš (advisor)
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-liability management problem of a leasing company. At the beginning, the business model of such a company is introduced and the stochastic programming formulation is derived. Thereafter, three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint are applied to the model to control for riski- ness of the optimal strategy. Their properties and their effects on the optimal decisions are thoroughly investigated, while various risk limits are considered. In order to obtain solutions of the problems, random elements in the model formulation had to be approximated by scenarios. The Hull - White model calibrated by a newly proposed method based on maximum likelihood esti- mation has been used to generate scenarios of future interest rates. In the end, the performances of the optimal solutions of the problems for unconsid- ered and unfavourable crisis scenarios were inspected. The used methodology of such a stress test has not yet been implemented in stochastic programming problems within an asset-liability management. 1
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Stochastic Programming Problems in Asset-Liability Management
Rusý, Tomáš ; Kopa, Miloš (advisor)
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-liability management problem of a leasing company. At the beginning, the business model of such a company is introduced and the stochastic programming formulation is derived. Thereafter, three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint are applied to the model to control for riski- ness of the optimal strategy. Their properties and their effects on the optimal decisions are thoroughly investigated, while various risk limits are considered. In order to obtain solutions of the problems, random elements in the model formulation had to be approximated by scenarios. The Hull - White model calibrated by a newly proposed method based on maximum likelihood esti- mation has been used to generate scenarios of future interest rates. In the end, the performances of the optimal solutions of the problems for unconsid- ered and unfavourable crisis scenarios were inspected. The used methodology of such a stress test has not yet been implemented in stochastic programming problems within an asset-liability management. 1
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Stochastic Programming Problems in Asset-Liability Management
Rusý, Tomáš ; Kopa, Miloš (advisor) ; Lachout, Petr (referee)
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-liability management problem of a leasing company. At the beginning, the business model of such a company is introduced and the stochastic programming formulation is derived. Thereafter, three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint are applied to the model to control for riski- ness of the optimal strategy. Their properties and their effects on the optimal decisions are thoroughly investigated, while various risk limits are considered. In order to obtain solutions of the problems, random elements in the model formulation had to be approximated by scenarios. The Hull - White model calibrated by a newly proposed method based on maximum likelihood esti- mation has been used to generate scenarios of future interest rates. In the end, the performances of the optimal solutions of the problems for unconsid- ered and unfavourable crisis scenarios were inspected. The used methodology of such a stress test has not yet been implemented in stochastic programming problems within an asset-liability management. 1
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Four Essays on Financial Stability
Jakubík, Petr ; Dědek, Oldřich (advisor) ; Mejstřík, Michal (referee) ; Kodera, Jan (referee) ; Peltonen, Tuomas (referee)
Recent episodes of financial instability have motivated researchers as well as policy makers to intensify research on financial stability. This thesis contributes to current research and policy discussion by elaborating and empirically testing methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks for financial stability. It further focuses on the link between real and the financial sector as well as possible implications of household financial distress on the aggregate economy. Together with the proposed framework we provide the survey of the current literature on these topics as well as the empirical results. We argue in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can...
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The impact of macroeconomic shocks on credit risk of Slovakian banking sector and its stress testing
Lörinčík, Martin ; Dědek, Oldřich (advisor) ; Kubíček, Martin (referee)
Credit risk tracking and quantification play important roles in risk management and they are not applied only by financial institutions on microeconomic level, but also by central banks on the background of aggregated data. This master thesis deals with the analyses of shocks of given significant macroeconomic variables and their reply on changes of households' and firms' defaulted, non performing loans in Slovakian banking sector. In introductory part, the method of data handling is described, because of their inconsistency in the given field of research. That is caused on one hand by the post-transformational consolidation process of Slovakian banking sector and on the other hand by legislative shifts and changes in calculation methodology of non performing loans. The main aim of the thesis is not to describe and interpret most precisely the economic relations that could influence the level of non performing loans, but the effort to widen the range of credit risk stress testing possibilities in Slovakian banking sector. In order to check the macroeconomic variables' significance, OLS regression is used. Important part of the stress tests is the application of Monte Carlo method which simulates high number of stress scenarios and macroeconomic variables' shocks and therefore helps to improve the...
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Řízení rizik v komerční pojišťovně
Stránská, Martina
The Diploma thesis deals with the risk management in an insurance company. The main goal of the thesis is to determine the process of the risk management in insurance companies and to compare this process with the theory and with requirements of directive Solvency II. The first part of the thesis specifies the issue from a theoretical view. The second part focuses on a real situation in insurance companies and concrete approaches of quantitative assessment of risks, such a Value at Risk and stress testing. The result of the thesis is the evaluation of readiness of insurance companies for implementation of directive Solvency II and recommendations for an improvement of the process of risk management.
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