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A Risk Management Tool for Long Liabilities: The Static Control Model
A Risk Management Tool for Long Liabilities: The Static Control Model This paper looks ... hold) investment strategies rather than a set of dynamic strategies. This turns out to imply the mathematical ...- Authors: Application Administrator
- Date: Apr 2009
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 1: What Are Financial Intermediaries Paid For?
Asset-Liability Integration, Chapter 1: What Are Financial Intermediaries Paid For? The creation ... a static sense, and complement each other in a dynamic sense. In other words, any instrument issued by ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration: Introduction
Journal of Finance 41: 1031–50. Duffie, D. 1996. Dynamic Asset Pricing Theory. 2nd ed. Princeton, NJ: Princeton ... 46: 99–191. ———. 1996. ‘‘Actuarial Bridges to Dynamic Hedging and Option Pricing,’’ Insurance: Mathematics ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 4: Trading in Human Capital
Asset-Liability Integration, Chapter 4: Trading in Human Capital Discussion of Human capital ... Asset-Liability Integration, M-FI02-1. Derivatives;Dynamic simulation models;Marketing and distribution; ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 2: Defining Asset-Liability Management
second group of asset-liability strategies are dynamic in nature and relate to the integrated ap- proach ... two. Van der Meer and Smink (1993) classified dynamic methods as value driven and return driven: ● Value-driven ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 5: Out of Human Bondage
provided and required by future business. This dynamic valuation perspective, in fact, has been fully ... investigation, note that, if we do fully incorporate such dynamic valuation approach into our analysis of the firm’s ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Asset liability management
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Asset-Liability Integration, Chapter 7: Valuation of Derivative Securities
Asset-Liability Integration, Chapter 7: Valuation of Derivative Securities Generally, the assets ... here) and magnificent insight into the modern dynamic asset valuation theory. Consider now an amount ...- Authors: Krzysztof Ostaszewski
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Topics: Finance & Investments>Asset liability management