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...

We study the relationship between liquidity and prices in an artificial financial market where portfolio traders with limited resources interact through a continuous, electronic open book. We depart from the standard asset pricing framework in two ways. First, we assume that investors have...

Decision models under uncertainty need to be feeded with scenarios of the interest rate curve. Such scenarios have to comply, as close as possible, with the empirical distribution of each rate. Simulation models of the term structure usually assume that the conjugate distribution of the interest...

New international accounting standards requires insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black amp; Scholes paradigm are often used, however, the hypotheses underneath this model are rarely met.We propose a framework that...

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...