Risk management of non-maturing liabilities

M Kalkbrener, J Willing - Journal of Banking & Finance, 2004 - Elsevier
Risk management of non-maturing liabilities is a relatively unstudied issue of significant
practical importance. Non-maturing liabilities include most of the traditional deposit accounts …

Global patterns of mergers and acquisition activity in the financial service industry

RC Smith, I Walter - Bank mergers & acquisitions, 1998 - Springer
This paper analyzes empirical evidence regarding mergers and acquisitions in the global
financial services industry. It examines the global deal-flow during the eleven-year period …

Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows

A Ang, M Sherris - North American Actuarial Journal, 1997 - Taylor & Francis
This paper surveys the main concepts and techniques of recent developments in the
modeling of the term structure of interest rates that are used in the risk management and …

Two paradigms for the market value of liabilities

RR Reitano - North American Actuarial Journal, 1997 - Taylor & Francis
Asset/liability management (ALM) theory and practices of insurers have matured and
developed from early applications to guaranteed investment contracts (GICs) to all annuity …

The effect of interest rates on the value of corporate assets and the risk premia of corporate debt

V Lesseig, D Stock - Review of Quantitative Finance and Accounting, 1998 - Springer
A growing number of papers have applied option pricing techniques to the valuation of risky
debt. This paper deals directly with how a firm's relationship to interest rates affects its debt …

Fair valuation of life insurance company liabilities

DC Doll, CP Elam, JE Hohmann, JM Keating… - The Fair Value of …, 1998 - Springer
Historically, accounting authorities have prescribed a high degree of consistency between
the asset and liability sides of balance sheets. However, a significant departure from that …

Asset/liability management: From immunization to option-pricing theory

ESW Shiu - Financial management of life insurance companies, 1993 - Springer
It was nearly forty years ago when the eminent British actuary FM Redington published the
paper “Review of the Principles of Life-Office Valuations,” in which he suggested the …

A frequency distribution method for valuing average options

EH Neave - ASTIN Bulletin: The Journal of the IAA, 1997 - cambridge.org
This paper finds payoff frequency distributions for valuing European and American fixed
strike average options on a discrete time, recombining multiplicative binomial asset price …

Representative interest rate scenarios

SLM Christiansen - North American Actuarial Journal, 1998 - Taylor & Francis
This paper suggests a possible flexible solution to the time and resource problems of
running a large number of stochastic interest rate scenarios, that is, selecting a …

Value at risk of a bank's balance sheet

T Ho, M Abbott, A Abrahamson - International Journal of Theoretical …, 1999 - World Scientific
Through the application of a VaR analysis to the balance sheet of a hypothetical bank this
paper will address several issues important to bank managers. We will establish which …