Essays On Asset Liabilty Modelling
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Essays On Asset Management And Asset Liability Management
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Author : Lidia Bolla
language : en
Publisher:
Release Date : 2016
Essays On Asset Management And Asset Liability Management written by Lidia Bolla and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays On Asset Allocation And Asset Liability Management
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Author : Yesim Tokat
language : en
Publisher:
Release Date : 2002
Essays On Asset Allocation And Asset Liability Management written by Yesim Tokat and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Essays On Asset Liability Management And Policyholders Willingness To Pay
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Author : Florian Klein
language : en
Publisher:
Release Date : 2019
Essays On Asset Liability Management And Policyholders Willingness To Pay written by Florian Klein and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Essays On Asset And Liability Management Analysis
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Author :
language : en
Publisher:
Release Date : 2021
Essays On Asset And Liability Management Analysis written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Essays On Asset Liabilty Modelling
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Author : David Frederik Schrager
language : en
Publisher: Rozenberg Publishers
Release Date : 2007
Essays On Asset Liabilty Modelling written by David Frederik Schrager and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Asset Liability Management And Underwriting Cycles
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Author : Thomas Berry-Stölzle
language : en
Publisher:
Release Date : 2007
Asset Liability Management And Underwriting Cycles written by Thomas Berry-Stölzle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Asset Liability Management And Underwriting Circles
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Author : Thomas Berry-Stölzle
language : en
Publisher:
Release Date : 2007
Asset Liability Management And Underwriting Circles written by Thomas Berry-Stölzle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Three Essays On Asset Management Of Life Insurer Behavior
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Author : Fu-wei Huang
language : en
Publisher:
Release Date : 2020
Three Essays On Asset Management Of Life Insurer Behavior written by Fu-wei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
In the dissertation, we develop a contingent model to evaluate the equity of a life insurer. The dissertation complements the literature about the insurer's asset-liability matching management in three aspects: credit swap transaction, sunflower behavior, and chief executive officer (CEO) overconfidence. The common base of the research approach is based on a contingent claim analysis. The main assumptions of the three issues are, respectively, (i) the invested-asset market and the life insurance market faced by the insurer are assumed imperfectly competitive and a down-and-out call option is developed for the issue of the linkage between insurer behavior and credit swap transaction; (ii) the invested-asset market is assumed to be imperfectly competitive and a utility function based on the standard call option is developed to discuss the sunflower behavior in life insurance management; and (iii) both the invested-asset and life insurance markets are imperfectly competitive and a down-and-out call option is employed to analyze the issue of CEO overconfidence and shadow insurance. The main findings are summarized as follows, respectively. (i) Chapter 2 complements the insurance literature by analyzing how the effects of credit swap transactions on insurer spread behavior and policyholder protection, and how they might differ across various degrees of capital regulation, premature default risk and profit-sharing participation. We find that the policyholder is protected when the insurer as a protection seller benefits risk-taking compensation. (ii) Chapter 3 is the first one to develop a contingent claim model to evaluate the value of the CEO's utility function defined as the like of higher equity return and the dislike of higher equity risk to please the board. The CEO's sunflower aptitude yields lower board utility and makes the CEO more prudent to risk-taking at an increased interest margin for the provision of life insurance policies. (iii) Chapter 4 contributes to the literature on overconfidence behavior by linking shadow insurance and the government's bailout during a financial crisis. We show that there is an efficiency gain from CEO overconfidence to investment and government bailout helps insurer survival. In conclusion, it is shown that the contingent claim approach is intimately relevant to the following three issues in the dissertation: credit swap transaction, sunflower management, and CEO overconfidence.
Three Essays On Bank Asset And Liability Management
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Author : Daniel Kolp
language : en
Publisher:
Release Date : 2014
Three Essays On Bank Asset And Liability Management written by Daniel Kolp and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Asset Liability Management Optimisation
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Author : Beata Lubinska
language : en
Publisher: John Wiley & Sons
Release Date : 2020-04-20
Asset Liability Management Optimisation written by Beata Lubinska and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-20 with Business & Economics categories.
An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book. ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM. A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position Detailed examinations of interest rate risk in the banking book (IRRBB) Discussion of Basel III regulatory requirements and maturity gap analysis Overview of customer behavior, along with its impact on interest rate and liquidity risk Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits) Explorations of model risk, sensitivity analysis, and case studies The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.