We build a multi--stage stochastic program of an asset--liability management problem of a~leasing company, analyse model results and present a stress--testing methodology suited for financial applications. At~the~beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value--at--Risk constraint and the conditional Value--at--Risk constraint along with the second--order stochastic dominance constraint, which are applied to the model to control risk of~the~optimal strategy. We also present the structure and the generation process of our scenarios. To capture the evolution of interest rates the Hull--White model is used. Thereafter, results of the model and the effect of the risk constraints on the optimal decisions are thoroughly investigated. In the final part, the~performance of~the~optimal solutions of~the~problems for unconsidered and unfavourable crisis scenarios is inspected. The~methodology of~a~stress test we used was proposed in such a~way that it answers typical questions asked by asset--liability managers.
asset-liability management, multi-stage stochastic programming, stress test
90C15, 90B50, 90C31, 91G10