Download or read book Essays on asset liabilty modelling written by David Frederik Schrager and published by Rozenberg Publishers. This book was released on 2007 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Worldwide Asset and Liability Modeling written by William T. Ziemba and published by Cambridge University Press. This book was released on 1998-11-12 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Download or read book Asset and Liability Management Handbook written by G. Mitra and published by Springer. This book was released on 2011-03-29 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.
Download or read book Bank Asset Liability Management Best Practice written by Polina Bardaeva and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-04-19 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt: As bankers incorporate more and more complicated and precise calculations and models, a solely mathematical approach will fail to confirm the viability of their business. This book explains how to combine ALM concepts with the emotional intelligence of managers in order to maintain the financial health of a bank, and quickly react to external environment challenges and banks’ microclimate changes. ALM embraces not only balance sheet targets setting, instruments and methodologies to achieve the targets, but also the correct and holistic understanding of processes that should be set up in a bank to prove its prudency and compliance with internal and external constraints, requirements and limitations and the ongoing continuity of its operations. Bank Asset Liability Management Best Practice delves into the philosophy of ALM, discusses the interrelation of processes inside the bank, and argues that every little change in one aspect of the bank processes has an impact on its other parts. The author discusses the changing role of ALM and its historical and current concepts, its strengths and weaknesses, and future threats and opportunities.
Download or read book Asset Liability and Liquidity Management written by Pooya Farahvash and published by John Wiley & Sons. This book was released on 2020-05-26 with total page 1056 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry. The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The fundamentals of analytical finance Detailed explanations of financial valuation models for a variety of products The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds transfer pricing A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.
Download or read book The Evolution of Asset Liability Management written by Ronald J. Ryan and published by . This book was released on 2013-09 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and published by Rozenberg Publishers. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Download or read book Maintenance models for systems subject to measurable deterioration written by Robin Pieter Nicolai and published by Rozenberg Publishers. This book was released on 2008 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Complex engineering systems such as bridges, roads, flood defence structures, and power pylons play an important role in our society. Unfortunately such systems are subject to deterioration, meaning that in course of time their condition falls from higher to lower, and possibly even to unacceptable, levels. Maintenance actions such as inspection, local repair and replacement should be done to retain such systems in or restore them to acceptable operating conditions. After all, the economic consequences of malfunctioning infrastructure systems can be huge. In the life-cycle management of engineering systems, the decisions regarding the timing and the type of maintenance depend on the temporal uncertainty associated with the deterioration. Hence it is of importance to model this uncertainty. In the literature, deterioration models based on Brownian motion and gamma process have had much attention, but a thorough comparison of these models lacks. In this thesis both models are compared on several aspects, both in a theoretical as well as in an empirical setting. Moreover, they are compared with physical process models, which can capture structural insights into the underlying process. For the latter a new framework is developed to draw inference. Next, models for imperfect maintenance are investigated. Finally, a review is given for systems consisting of multiple components.
Download or read book Asset Liability Management written by and published by . This book was released on 2015 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Download or read book Local clusters in global value chains written by Roos Kities Andadari and published by Rozenberg Publishers. This book was released on 2008 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in monitoring the economy written by Rene Segers and published by Rozenberg Publishers. This book was released on 2009 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monitoring involves the collection, analysis and evaluation of information over time. For many professionals, monitoring is a central aspect of their work. For example, policy- makers closely watch the e®ects of their current policies to set the right course for reform. Likewise, physicians monitor the well-being of their patients to adjust their treatments when necessary. In business, n̄ancial investors monitor stock prices and interest rates to optimally time their investments, while marketing managers watch their customers' needs and wants to frame their marketing e®orts. The above examples illustrate that monitoring is crucial in many disciplines to make the right decisions at the right moment. For this reason, there has always been a need for improved monitoring methods. With the advent of increasingly powerful computers and advanced analytical techniques, monitoring systems can nowadays process large amounts of information and have become fully automated where desired. A large body of moni- toring methods originate from academics. Especially during the past four decades, many insights from various ēlds such as economics, statistics, psychometrics and econometrics found their way into everyday monitoring practice. With the overwhelming availability of information in some cases, but also the intrinsic lack of information in other cases, the area is continuously faced with new and highly relevant research challenges. The aim of this thesis is to contribute to the development of new monitoring methods by o®ering potential solutions to some of these challenges. The challenges studied in this thesis arise from all three aspects of monitoring, that is from the collection, the analysis as well as from the evaluation of information.
Download or read book The Strategic Dynamics of the Insurance Industry written by Edward I. Altman and published by Irwin Professional Publishing. This book was released on 1996 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A walk down Lombard Street written by Lev Ratnovski and published by Rozenberg Publishers. This book was released on 2001 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Social influences on individual decision making processes written by Ferdinand Vieider and published by Rozenberg Publishers. This book was released on 2009 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main focus of this thesis is to combine the multiple findings from social psychology and apply them with an economic approach to decision making. To this purpose, we investigate accountability and its interaction with market mechanisms, more specifically real incentives in experimental settings. This PhD thesis is structured as follows. Chapter 2 studies the effect of accountability on ambiguity aversion-the preference for known over normatively equivalent unknown probabilities. Chapter 3 follows up on the ambiguity aversion issue by studying preference reversals under ambiguity. Chapter 4 examines the influence of accountability on risk attitude. Chapter 5 is of a methodological nature. We separate accountability and incentives, and find several effects. Accountability is found to reduce preference reversals between frames, for which incentives have no effect. Incentives on the other hand are found to reduce risk seeking for losses, where accountability has no effect.
Download or read book Dynamic econometric analysis of insurance markets with imperfect information written by Tibor Zavadil and published by Rozenberg Publishers. This book was released on 2008 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Financial Analytics written by Pascal Alphonse and published by Springer Nature. This book was released on with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
