Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"Asset-liability management"”.
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Asset liability management throughout macroeconomic cycle in financial institutions
In this thesis, we are going to study asset liability management throughout the macroeconomic cycle in financial institutions. There are two important problems in financial institutions. The first is that asset and liability management has significant effects on the financial institution's value. …
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A quantitative model for the asset liability management of a Pension Fund
… time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal …
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Asset Liability Management (ALM) em RPS: uma análise do Instituto de Previdência dos Servidores Municipais de Cabedelo - PB (IPSEMC)
… of mismatches between actuarial liabilities and assets with a focus on healthy flow of payments is typical of the pension fund of social security, specifically in defined benefit plans. In this regard, risk management becomes an important tool in the process, in order to avoid the risk of …
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Prämienberechnung unter Berücksichtigung des Asset-Liability-Managements mittels Valuation Portfolio
… eine bessere Berücksichtigung des Risikos unter Asset-Liability-Management möglich macht.
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On modelling volatility and mortality for pension schemes
… and mortality models that could be used in asset liability management in pension schemes. This study provides a comprehensive study of various advance multivariate DCC GARCH models which are used for construction of optimal portfolios in modelling asset return covariances. The effectiveness …
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An analytic hierarchy process and Markov chain based approach for condition rating and dynamic service life prediction of retaining walls
… walls are typically considered auxiliary assets within the global transportation asset management scheme. However, failure cases to this structure class have attracted more attention to retaining wall assets. The possibility of failure also helps validate Moving Ahead for Progress in the …
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The effect of credit rating announcements on covered bond returns : evidence from covered bonds issued by the three largest banks in Iceland
The purpose of this thesis is to examine how issuer credit rating announcements affect returns of covered bonds issued by the three largest banks in Iceland. The matching portfolio model is used to determine abnormal returns, which are calculated as the difference between daily covered bond returns …
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International portfolio diversification with special reference to emerging markets
… markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing …