Asset liability management throughout macroeconomic cycle in financial institutions
Name
857767940-MIT.pdf
Description
Full printable version
Size
1.7 MB
Format
Adobe PDF
Checksum (MD5)
021de3aa3a8a65217c67a802c75d45cf
Author(s)
Yan, Jingsi
Advisor(s)
Xavier Giroud.
Date Issued
2013
Publisher
Massachusetts Institute of Technology
Abstract
In this thesis, we are going to study asset liability management throughout the macroeconomic cycle in financial institutions. There are two important problems in financial institutions. The first is that asset and liability management has significant effects on the financial institution's value. The second is that in different stages of the macroeconomic cycle, the effect of asset and liability management approaches is not same. Therefore, the purpose of the thesis is to study how asset liability management causes economic consequences for financial institutions and in what capacity. In this thesis, based on the analysis of asset liability management and the economic cycle, we establish a dynamic system to simulate how a financial institution makes decision throughout economic cycles. In order to simulate the system, we established a model to reflect how the economic cycle affects the financial institution's value by using the economic relationship and we built up the decision making progress. Then we simulate the system through Matlab. From the simulation results, we can observe the changes of system in the given time horizon.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2013.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 40).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
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