Asset-Liability Management using MATLAB (Code and App)
Learn how to use MATLAB to perform cash flow analysis, duration gap computation, and sensitivity analysis.
이 제출물을 팔로우합니다
- 팔로우하는 게시물 피드에서 업데이트를 확인할 수 있습니다
- 정보 수신 기본 설정에 따라 이메일을 받을 수 있습니다
This code example shows how to perform tasks related to asset-liability management (ALM), including:
- Cash flow analysis (Part 1)
- Duration gap computation (Part 2a)
- Sensitivity analysis (Part 2b)
In this code example, you will also see how to incorporate interest rate trees (e.g., Black-Karasinski interest-rate tree) into ALM modeling. Such interest rate trees can be used to calculate the duration of financial instruments, duration gap, and net worth.
For the app deployment part, you may need to use MATLAB Compiler, MATLAB Compiler SDK, or other tools (depending on your deployment strategy).
인용 양식
MathWorks Quant Team (2026). Asset-Liability Management using MATLAB (Code and App) (https://kr.mathworks.com/matlabcentral/fileexchange/70144-asset-liability-management-using-matlab-code-and-app), MATLAB Central File Exchange. 검색 날짜: .
