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Risk-return optimization of the bank portfolio

Theiler, Ursula - In: Operations research proceedings 2002 : selected papers …, (pp. 14-19). 2003

Persistent link: https://www.econbiz.de/10001751858

Risk-/Return-orientierte Optimierung des Gesamtbank-Portfolios unter Verwendung des Conditional Value at Risk

Theiler, Ursula-A. - In: Operations research proceedings 2001 : selected papers …, (pp. 183-190). 2002

Persistent link: https://www.econbiz.de/10001677514

Risikoadjustierte Ergebnismessung und Allokation von Risikokapital

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Solving ALM problems via sequential stochastic programming

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Grundmodell zur integrierten Risk-/Return-Optimierung der Gesamtbank-Portfolios

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RORAC-basiertes Software-Agentensystem zur Koordination von Finanztransaktionen auf internen Märkten in Banken

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Umsetzung effizienter Risikostrategien im Rahmen des Internal Capital Adequacy Assessment Process (ICAAP)

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Measures and assessment of ALM risks in banks : case of Russia

Seryakova, Ekaterina - In: Risk assessment and financial regulation in emerging …, (pp. 189-198). 2021

This сhapter focuses on the assessment and management of ALM risks: liquidity risk and interest-rate risk. The first part is devoted to liquidity risk: various types of liquidity risk, its sources, measures, and the principles of liquidity risk management, as well as scenarios for stress...

Persistent link: https://www.econbiz.de/10012591708

Efficient asset management: a practical guide to stock portfolio optimization and asset allocation

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Dynamic portfolio management with a discrete-time stochastic maximum principle

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