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 …
practical importance. Non-maturing liabilities include most of the traditional deposit accounts …
Global patterns of mergers and acquisition activity in the financial service industry
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 …
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
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 …
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 …
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 …
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 …
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 …
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 …
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 …
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 …
paper will address several issues important to bank managers. We will establish which …