This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability (or funding liquidity) modeling, the second focuses market and third considers asset-liability management gap matching). purpose this to propose methodological practical framework order perform stress testing programs, c...

The traditional approach towards derivative pricing consists of dynamically replicating a future liability by trading the assets on which that liability is written. However, the assumption that one can trade the assets is often rather restrictive. In some cases, say of options on commodities or funds, one can at best trade another correlated asset. In others, as in the case of basket options, e...

Over many years, securitization has proven to be an expedient and highly flexible refinancing tool for corporates and public sector entities that seek a more accurate capital-market based valuation of asset performance. After successful securitization by public sector entities in advanced countries, also sovereigns in emerging economies are becoming adept at securitization as an efficient means...

This paper sets out to address the issue of equity duration, one of several risk measures available for asset and liability management. Equity duration, as derived from the use of traditional dividend discount models, results in extremely long duration estimates for equities often in excess of 50 years for growth stocks. Leibowitz, in his seminal paper (1986), identified an alternative framewor...

We study the possibility for international diversi cation of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically distant insurance markets via equity returns. In particular, we employ conditional copula theory to model the bivariate dependence of the insurance indust...

Abstract. Asset/Liability management, optimal fund design and optimal portfolio selection have been key issues of interest to the (re)insurance and investment banking communities, respectively, for some years especially in the design of advanced risk transfer solutions for clients in the Fortune 500 group of companies. The new concept of limited risk arbitrage investment management in a diffusi...

Abstract Banks have so far weathered well the financial turbulence caused by COVID-19 while at same time being central in economic and response. As crisis moves from its initial phase as a short-term liquidity shock, sector is facing increasing volumes of non-performing loans, raising spectre banking solvency crisis. In economies already burdened with low-quality assets, fallout intensifying ex...