Add to ORKGThe model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities. Implications for the immunization are also treated
Asset and liability management is one of the most important risk management measures at a bank. It i...
AbstractThe paper is going to quantify the mitigation of the insurance as a risk mitigant in operati...
The model, by using the option theory, determines the fair value of the life insurance policies in a...
The model, by using a contingent claim approach, determines the fair value of the banks liabilities ...
The model, by using the option theory, determines the fair value of the insurance life policies with...
Summarization: Nowadays, because of the uncertainty and risk which exists due to the integrating fin...
In recent years, the techniques known as asset and liability management (ALM) have become a cornerst...
International audienceBlack and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM...
The inherent uncertainty of a bank's cash flows, cost of funds and return on investment, along with ...
[[abstract]]In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabi...
AbstractAsset and liability management is one of the most important risk management measures at a ba...
In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities...
Summarization: Asset-liability management is one of the most important issues in bank strategic plan...
We study the efficacy of forbearance using a real options approach. Our model endogenizes moral haza...
This paper proposes an asset allocation strategy for the risk management of the broad category of pa...
Asset and liability management is one of the most important risk management measures at a bank. It i...
AbstractThe paper is going to quantify the mitigation of the insurance as a risk mitigant in operati...
The model, by using the option theory, determines the fair value of the life insurance policies in a...
The model, by using a contingent claim approach, determines the fair value of the banks liabilities ...
The model, by using the option theory, determines the fair value of the insurance life policies with...
Summarization: Nowadays, because of the uncertainty and risk which exists due to the integrating fin...
In recent years, the techniques known as asset and liability management (ALM) have become a cornerst...
International audienceBlack and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM...
The inherent uncertainty of a bank's cash flows, cost of funds and return on investment, along with ...
[[abstract]]In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabi...
AbstractAsset and liability management is one of the most important risk management measures at a ba...
In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities...
Summarization: Asset-liability management is one of the most important issues in bank strategic plan...
We study the efficacy of forbearance using a real options approach. Our model endogenizes moral haza...
This paper proposes an asset allocation strategy for the risk management of the broad category of pa...
Asset and liability management is one of the most important risk management measures at a bank. It i...
AbstractThe paper is going to quantify the mitigation of the insurance as a risk mitigant in operati...
The model, by using the option theory, determines the fair value of the life insurance policies in a...