Search Results - subject:"Cash flow matching"

Mathematical analysis of replication by cash flow matching

Natolski, Jan; Werner, Ralf - In: Risks 5 (2017) 1, pp. 1-15

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

Persistent link: https://www.econbiz.de/10011709586

Taxa de desconto na gestão de ativos e passivos previdenciários

Santana, Verônica de Fátima; Costa, Thiago de Melo … - In: Revista Brasileira de Finanças : RBFin 15 (2017) 4, pp. 631-655

Persistent link: https://www.econbiz.de/10012000279

Mathematical analysis of replication by cash flow matching

Natolski, Jan; Werner, Ralf - In: Risks : open access journal 5 (2017) 1, pp. 1-15

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within their Solvency II framework for the computation of risk capital. In this note, we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

Persistent link: https://www.econbiz.de/10011636566

Risk-adjusted pricing of bank’s assets based on cash flow matching matrix

Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013

cash flows are matched between assets and liabilities. For this it`s used cash flow matching matrix or funding matrix. In …

Persistent link: https://www.econbiz.de/10011145372

Mathematical foundation of the replicating portfolio approach

Natolski, Jan; Werner, Ralf - In: Scandinavian actuarial journal (2018) 6, pp. 481-504

Persistent link: https://www.econbiz.de/10011939702

An integrated matching-immunization model for bond portfolio optimization

Xidonas, P.; Hassapis, Christis; Bouzianis, G.; … - In: Computational economics 51 (2018) 3, pp. 595-605

Persistent link: https://www.econbiz.de/10011963712

Dynamic immunisation does not imply cash flow matching : a hard application to Spain

Peña Esteban, J. Iñaki de la; Garayeta, Asier; … - In: Economic research 30 (2017) 1,1, pp. 238-255

Persistent link: https://www.econbiz.de/10012223796

The German humpback: Internationalization and foreign exchange hedging

Aabo, Tom; Ploeen, Rasmus - In: Journal of Multinational Financial Management 27 (2014) C, pp. 114-129

Previous studies find a monotonic positive relationship between a firm's internationalization and its foreign exchange hedging. We argue that high levels of internationalization can reduce the need for foreign exchange hedging through diversification (e.g. sales to several markets) and...

Persistent link: https://www.econbiz.de/10011043138

The German humpback : internationalization and foreign exchange hedging

Aabo, Tom; Ploeen, Rasmus - In: Journal of multinational financial management 27 (2014), pp. 114-129

Persistent link: https://www.econbiz.de/10010516807

Solvency capital requirement for insurance products via dynamic cash flow matching under lattice models

Ka Chun Ma, Alfred; Yuen Ki Cheung, Justina - In: The Journal of Risk Finance 14 (2013) 4, pp. 344-352

Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency … available for purchase in the future, the authors study the cash flow matching program under interest rate lattice models …. Originality/value – The paper illustrates the methodology of computing the Solvency Capital Requirement using a dynamic cash flow …

Persistent link: https://www.econbiz.de/10014901865