English, Article, Journal or magazine article edition: Liability Management Using Dynamic Portfolio Strategies Richard Black; Colin R. Telmer

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Bookmark: http://trove.nla.gov.au/version/145477
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Liability Management Using Dynamic Portfolio Strategies
Author
  • Richard Black
  • Colin R. Telmer
Physical Description
  • preprint
Notes
  • Many institutions issue debt in both short-term markets, which implies frequent rebalancing, and long-term bond markets, which typically pay a higher coupon. The liability manager must consider this risk/​cost trade-off in the face of uncertain interest rates and funding requirements. The debt management problem is characterized by long time horizons. Standard implementations of common risk management tools that do not account for portfolio effects are not suitable. This paper couples dynamic portfolio strategies with scenario generation in a simulation methodology to determine how the costs and risks of a liability portfolio evolve over time. The design of a simplified government debt program is used to illustrate the benefits of dynamic portfolio strategies. Beaucoup d'institutions émettent des titres de dette à la fois sur les marchés monétaires de court terme, ce qui suggère des ajustements fréquents, et sur les marchés obligataires de long terme, qui paient généralement un coupon plus élevé. Le gestionnaire de dette doit considérer cette relation risque/​coût en tenant compte de l'incertitude sur les taux d'intérêt et les besoins d'emprunt. Le problème de gestion de la dette est caractérisé par un horizon de long terme. L'application standard des outils courants de gestion du risque qui ne tiennent pas compte des effets de portefeuille n'est pas adéquate. Cet article combine les stratégies dynamiques de portefeuille avec la génération de scénarios dans une méthodologie de simulation afin de déterminer comment les coûts et les risques d'un portefeuille de dette évoluent avec le temps. La conception d'un programme d'emprunts gouvernemental simplifié est utilisée pour illustrer les bénéfices des stratégies dynamiques de portefeuille.
  • RePEc:fca:wpfnca:2000-01
Language
  • English
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