A Financial Assets and Liabilities Management Support System
نویسندگان
چکیده
منابع مشابه
Bank’s Assets and Liabilities Management With multiple Sources of Risk
The industrial organization approach to banking is applied to analyze the effects of the introduction of joint credit and interbank rate risk on the optimal decisions on deposits and loans of a competitive bank. It is found that due to the introduction of both sources of risk there appear direct effects as well as portfolio effects which jointly determine changes in the bank’s behavior. Moreove...
متن کاملLinking Pension Liabilities to Assets
2 Pension assets exist to defease the benefit promises made by plan sponsors to participants and beneficiaries—in other words, the pension liability. It follows that pension investment policies should be set in a way that explicitly integrates the exposures of the pension liability. The traditional approach to pension investing has excluded the risks of the liability, which has resulted in port...
متن کاملA Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model
Asset and liability management (ALM) models represent an important tool for banks and ®nance companies to measure the volatility of expected revenues. These models ± usually static and deterministic to ®t conventional computer resources ± may be much more useful if a dynamic stochastic simulation is adopted. This makes it possible to increase the precision of risk estimation. In this paper the ...
متن کاملModelling the Assets and Liabilities of a Pension Fund
In the context of the historical development of portfolio theory the authors describe a stochastic asset/liability modelling exercise for a closed pension fund portfolio, illustrating the reduction in variance of estimated future surplus which can be achieved by investment in index-linked securities. Equity investment would increase the expected level of surplus, but the outcome would be more u...
متن کاملStrategic management of assets and liabilities using multi-year internal risk models
Major changes in competitive behaviour, recent dynamics in capital markets, and fundamental changes in regulatory requirements (Solvency II for European Union member countries) have placed increasing challenges on management strategy in insurance companies. Management is faced with a complex decision-making and strategic task of allocating and managing capital resources efficiently. This requir...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Contemporary Management Research
سال: 2010
ISSN: 1813-5498
DOI: 10.7903/cmr.1122