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Computer-Implemented Systems and Methods for Hedging with Counterbalancing Capacity
Computer-Implemented Systems and Methods for Hedging with Counterbalancing Capacity
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机译:具有平衡能力的套期保值的计算机实现的系统和方法
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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.
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