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