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Replicating Portfolio Approach to Capital Calculation
SSRN Electronic Journal, 2016The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset-liability cash flows on a set of factors generated by a family of financial instruments that can be efficiently simulated.
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Optimal Replication of Contingent Claims under Portfolio Constraints
Review of Financial Studies, 1996We study the problem of determining the minimum cost of super-replicating a non-negative contingent claim when there are convex constraints on the portfolio weights. It is shown that the optimal cost with constraints is equal to the price of a related claim without constraints.
Mark Broadie +2 more
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Replicating portfolios – L1 versus L2 optimization
2018Currently, the major challenge in the life insurance sector is to find a numerically efficient and precise method for the estimation of the fair value of future liability cash flows. Besides least square Monte Carlo algorithms, the construction of replicating portfolios is very popular.
Natolski, Jan, Werner, Ralf
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Mathematical analysis of different approaches for replicating portfolios
European Actuarial Journal, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Natolski, Jan, Werner, Ralf
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Determinants of Bank Performance: Evidence from Replicating Portfolios
SSRN Electronic JournalWe construct a novel measure of bank performance, investigate its determinants, and show that it affects bank resilience, lending behaviour and real outcomes. Using confidential and granular data, we measure performance against a market-based benchmark portfolio that mimics individual banks' interest rate and credit risk exposure. From 2015 to mid-2022,
Altavilla, Carlo +3 more
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Convexity Correction by a Finite Replication Portfolio
SSRN Electronic Journal, 2010Several swap rate derivatives e.g. constant maturity swaps can only be valued after a convexity correction. One approach is to use a Taylor series expansion to gain an analytical approximation but the result is neither a tradeable asset nor can the information of the volatility cube be included.
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The Replicating Portfolio of a Constant Product Market
SSRN Electronic Journal, 2020We derive the replicating portfolio of a constant product market. This is structurally short volatility (selling options) which explains why positive transaction costs are needed to induce liquidity providers to participate. Where futures and options markets do not exist, this payoff can be used to create them.
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SSRN Electronic Journal, 2011
The practice of portfolio replication has proven its applicability to market risk management in complete markets through the appropriate modeling of a range of non-linear financial instruments. Replicating portfolios provide an intuitive and operational framework for explaining financial risks of life insurance companies as financial instruments with ...
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The practice of portfolio replication has proven its applicability to market risk management in complete markets through the appropriate modeling of a range of non-linear financial instruments. Replicating portfolios provide an intuitive and operational framework for explaining financial risks of life insurance companies as financial instruments with ...
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Einige Anwendungen des Replicating Portfolio Ansatzes zur Risikokapitalberechnung
2022Diese Arbeit beschäftigt sich mit Ansätzen zur Risikokapitalberechnung für Versicherungsunternehmen. Insbesondere liegt das Augenmerk auf der von Cambouund Filipović vorgeschlagenen dynamischen Variante des Replicating Portfolio Ansatzes. Nach der Vorstellung von verschiedenen Ansätzen und deren Vor- undNachteilen, werden mathematischen Grundlagen zum ...
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Consistent and Efficient Dynamic Portfolio Replication with Many Factors
The Journal of Portfolio Management, 2019Factor investing involves choosing securities to construct portfolios with particular risk–return profiles. With the proliferation of benchmark-tracking exchange-traded funds (ETFs) virtually any risk–return profile can be reconstructed; the challenge is to find the right ETFs because the number of relevant ETFs is very large.
Lars Stentoft, Sha Wang
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