Liability portfolio performance measurement Queensland treasury corporations: a case study

Beames, Ross (1993) Liability portfolio performance measurement Queensland treasury corporations: a case study The University of Queensland:

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Author Beames, Ross
Title of report Liability portfolio performance measurement Queensland treasury corporations: a case study
Formatted title


Publication date 1993
Place of publication The University of Queensland
Total pages 89
Language eng
Subjects 1503 Business and Management
Formatted abstract
Performance measurement methods for liability portfolios are examined, using Queensland Treasury Corporation as a framework. Reasons for measuring such performance and the incidence of such activities are discussed for both private sector and public sector organisations. A number of alternative cost measurement methods, of differing mathematical "exactness", are described and their relative behaviours examined for a model interest rate environment. It is concluded that measures of both cash costs and economic costs, together with an assessment of the risk level, are required to evaluate performance properly. Different risk measures are described together with their uses. A risk neutral position, sought by risk averse borrowers, is defined as one where the duration of the asset cash flow being funded equals the duration of the liability portfolio. The question of whether risk should be of any concern at all to a profit maximising firm is considered. The criteria that should be used to choose benchmarks, and some common benchmarks, notably the risk neutral position for a borrower, are described. An efficient frontier for Queensland Treasury Corporation stocks is calculated, and related to its current benchmark portfolio.

Document type: Research Report
Collection: MBA reports
 
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Created: Tue, 11 Jan 2011, 10:17:30 EST by Ning Jing on behalf of The University of Queensland Library