نتایج جستجو برای: asset liability dependency

تعداد نتایج: 76565  

2013
Ronald J. Ryan

The objective of most US institutions with assets to invest is to fund some sort of liability, as is the case with banks, insurance companies, pension funds, and so forth. As a result, asset/liability management (ALM) should be the investment focus and the basis for selecting the core portfolio. Insurance companies may be the birthplace of ALM and certainly have been the model of ALM discipline...

Journal: :SHS web of conferences 2021

The main objective of this research is to identify and review all the studies conducted investigate relationship between liquidity risk Asset-Liability Management in Islamic banks. This systematic was using Preferred Reporting Items for Systematic Reviews Meta-Analyses guidelines (PRISMA Statement ®). During past two decades, a limited amount literature has been published on In fact, from 1886 ...

2002
Elizabeth Currie Antonio Velandia

Important research has already been made on the potentially destabilizing fiscal impact of contingent liabilities. Additional insights can be gained by working within a broader conceptual framework based on the government’s balance sheet. This approach would place contingent liabilities alongside other sovereign exposures arising from both assets and liabilities. A number of sovereigns using as...

2010
Luis H. R. Alvarez Jani T. Sainio

We extend the Vasiček loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and depends on the correlation between the continuous aggregate factor and the as...

2013
KONSTANTINOS V. KATSIKOPOULOS

Behavioral operations management, or simply behavioral operations (BOps), aims at understanding the decision-making of managers and at using this understanding to generate interventions that improve the operation of the supply chain. To do so, BOps imports knowledge from a number of fields such as economics, psychology and other social and behavioral sciences. We point out a blind spot in this ...

Journal: :Finance and Stochastics 2017
Ying Jiao Olivier Klopfenstein Peter Tankov

Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio which outperforms a given set of stochastic benchmarks at a sequence of future dates. For a specified loss function, the shortfall with respect to each of the benchmarks weighted by this loss function must remain bounded in expectation by a given thresh...

Journal: :New Political Economy 2021

The existence of an uncovered liability has historically benefited foreign banks and lead currencies. Using the case China’s efforts to fund its exchange needs by exploiting loopholes in international financial architecture, paper examines whether using state-owned settlement as a means intermediating specialised ‘non-deliverable’ asset offshore markets can substitute institutional technical pr...

Journal: :Comput. Manag. Science 2009
Alois Geyer Michael Hanke Alex Weissensteiner

Abstract — An Asset-Liability Management model with a novel strategy for controlling risk of underfunding is presented in this paper. The basic model involves Multi-Period decisions (portfolio optimization) and deals with the usual uncertainty of investment returns and future liabilities. Therefore, is it well suited to a stochastic programming approach. We consider the problem of rebalancing p...

2008
Ian Martin

The fundamental equation of asset pricing states that the expected timeand risk-adjusted cumulative return on any asset equals one at all horizons. This paper shows that for a typical asset, the realized timeand risk-adjusted cumulative return tends to zero with probability one. Just two assumptions are required: limited liability and no arbitrage. This apparent paradox is resolved by a further...

2003
CHARLES ENGEL

Lane and Milesi-Ferretti gather data on assets and liabilities of 18 OECD countries. The data are classified by type of asset–debt instruments and equity instruments (either portfolio or foreign direct investment). To some extent the data allow them to classify changes in asset and liability positions that occur because of capital flows versus changes in valuation. With this data, Lane and Mile...

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