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Dynamical System Modeling in Asset and Liability Management [PDF]
ITM Web of ConferencesInsurance companies must ensure a balance between the profits generated from their investment and the liabilities they owe to policyholders. This is widely known as asset and liability management (ALM).
Tandy Marvin, Budhi Marcus Wono Setya
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Optimization of Asset and Liability Management of Banks with Minimum Possible Changes
Mathematics, 2023 Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance
Pejman Peykani +4 more
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Robust Asset-Liability Management
, 2023 How should financial institutions hedge their balance sheets against interest rate risk when managing long-term assets and liabilities? We address this question by proposing a bond portfolio solution based on ambiguity-averse preferences, which generalizes classical immunization and accommodates arbitrary liability structures, portfolio constraints ...
de Vries, Tjeerd, Toda, Alexis Akira
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A knowledge management-based intranet: asset or EBM liability?
Journal of Innovation in Health Informatics, 2005 This paper summarises the presentation given at the British Computer Society Primary Health Care Specialist Group annual conference 2004. It outlines the four years of experience gained in implementing a knowledge management-based intranet across a local
Christopher Mimnagh
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Single and cross-generation natural hedging of longevity and financial risk [PDF]
, 2012 The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk.
Luciano, Elisa +2 more
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Banking Firm, Equity and Value at Risk
Contemporary Economics, 2012 The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into
Udo Broll, Anna Sobiech, Jack E. Wahl
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Effect of Asset-Liability Management on Bank Survival of Selected Deposit Money Banks in Nigeria
International Journal of Applied Research in Business and ManagementFinancial earnings have long been part of the primary goals of Deposit Money Banks (DMBs) around the world. The relationship between asset-liability management and bank earnings is still being researched, primarily in the aftermath of the global ...
Ibrahim Agbeyinka
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Asset-Liability Management (ALM) Following Liquidity Management Approach Based on Goal Programming in the Commercial Bank [PDF]
Iranian Journal of Finance, 1999 Asset-liability management (ALM) helps managers achieve their respective objectives by surveilling and controlling the ways through which resources are obtained and allocated.
Tohid Jahandideh +2 more
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Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints
Risks, 2022 This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time.
Areski Cousin +3 more
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Asset liability management using stochastic programming [PDF]
, 2003 This chapter sets out to explain an important financial planning model called asset liability management (ALM); in particular, it discusses why in practice, optimum planning models are used.
Kyriakis, T, Mitra, G, Pirbhai, M
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