Computer-Implemented Systems and Methods for Hedging with Counterbalancing Capacity

摘要

This disclosure describes computer-program products, systems and computer-implemented methods for optimal liquidity reserve planning. Liquidity portfolio optimization models are disclosed that hedge with contractual cash flows and/or hedge with counterbalancing capacity. With respect to hedging with contractual cash flows, disclosed embodiments receive a minimum solvency rate for a simulation of future events that specifies a percentage of simulation scenarios in which a solvent stress test outcome is achieved, and a minimum cost portfolio is identified that provides solvency in a percentage of simulation scenarios that meets or exceeds the minimum solvency rate. With respect to hedging with counterbalancing capacity, a hedging portfolio is structured by executing a liquidity portfolio optimization model, which prescribes a series of liquidity execution actions related to management of the hedging portfolio with respect to at least one random simulation scenario.

主权项

1. A computer-program product comprising a non-transitory machine-readable storage medium that includes instructions operable to cause a data processing apparatus to perform operations including:
obtaining information representing assets and liabilities of an entity; obtaining a representation of a time horizon defined with respect to a series of consecutive future time periods; generating representations of multiple simulation scenarios on a computing device, wherein the multiple simulation scenarios include one or more impacts associated with hypothetical events during the time horizon, and wherein the one or more impacts are forecasted based on the hypothetical events and the information representing the assets and liabilities; and structuring a hedging plan by executing an optimization model subject to at least one constraint, wherein the optimization model is executed on the computing device and prescribes, with respect to at least one of the simulation scenarios, a series of actions related to management of the hedging plan.