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Paper / 2023SMQ / 249228105479321
Robust Asset-Liability Management
Alexis Akira Toda / Tjeerd de Vries
fixed income / interest ratesResource overview

Robust Asset-Liability Management

Paper2023

by Alexis Akira Toda, Tjeerd de Vries

Tags
fixed incomeinterest ratesoptimizationportfolio optimizationrisk management

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Understand this paper

Suggested foundations for rates and fixed income and portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  4. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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Explore Fixed Income and Interest-Rate Models Explore Portfolio Theory and Quantitative Investment

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