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Algorithms for Cash-Flow Matching
Cash-Flow Matching This paper presents enhancements to the classical cash-flow matching approach to developing ... allowing cash carry-forward and borrowing from future surpluses. Cash flow testing;Interest rate risk;Liability ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1988
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Investment strategy - Finance & Investments
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Cash-Flow Matching and Linear Programming Duality
Cash-Flow Matching and Linear Programming Duality This paper ... applies the duality theory of linear programming to provide insights for generalizing and solving the cash-flow ...- Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
- Date: Oct 1990
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management