Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/23028
Autoria: Judice, P.
Pinto, L.
Santos, J. L.
Data: 2021
Título próprio: Bank strategic asset allocation under a unified risk measure
Volume: 185
ISSN: 0957-4174
DOI (Digital Object Identifier): 10.1016/j.eswa.2021.115574
Palavras-chave: Banking
Heuristics
Pareto front
Risk aggregation
Simulation-optimization
Strategic asset allocation
Resumo: Most available bank asset allocation models use several risk measures as constraints; as a consequence, the comparison of the risk between different asset allocation strategies is often difficult, since each strategy is subject to several risks. With this research, we create a simulation–optimization methodology that measures interest rate, credit and liquidity risks in a unified manner. The associated risk events, such as interest rate increases, liquidity outflows or spikes in defaults are generated using the same simulation engine, giving as output a single risk measure (the probability of failure, used by ratings agencies) that aggregates those risks under the same simulation engine. Finally, we use our methodology to determine Pareto fronts for the optimal balance sheet allocations and minimum-risk strategies. As a result, several findings emerge, such as: 1) Risk is dependent on the income stream; 2) Allocation to book value assets is preferable; 3) Under low rate environments, a full allocation to cash is very risky and is not the minimum risk strategy; 4) Banks can make investments in stocks in environments of high prospective returns and low leverage.
Arbitragem científica: yes
Acesso: Acesso Aberto
Aparece nas coleções:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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