Homebuyers in several countries may finance the purchase of their properties using different variants of either adjustable-rate mortgages (ARMs) or fixed-rate mortgages (FRMs). The variety and complexity of these loan products poses a risk management task for mortgage bank advisors to recommend...

Tails are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context risk management tools require simulations that accurately capture the tails, and optimization models that limit tail effects. Ignoring the tails in the simulation or...

In this paper we report results from a study which explores the impact of quality on performance in the financial services industry. Although some disagreement exists, the operations management, economics and marketing literature advocate a positive relationship between quality and financial...

Purpose –This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt...

Endowments with a minimum guaranteed rate of return appear in insurance policies, pension plans and social security plans. In several cases, especially in the insurance industry, such endowments also participate in the business and receive bonuses from the firm's asset portfolio. In this paper...