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Optimizing portfolio liquidation under risk-based margin requirements
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153
This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...
Persistent link: https://www.econbiz.de/10009746034
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Steuerung der Liquiditätsbevorratung in Banken anhand eines quantitativen Transferpreismodells
Schäffler, Christian - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013432990
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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is …
Persistent link: https://www.econbiz.de/10012932264
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A goal programming model for liquidity management : a case study
Zadeh, Mousa Ali Hossein; Khalili, Kamran - In: International journal of services and operations management 26 (2017) 3, pp. 332-346
Persistent link: https://www.econbiz.de/10011757871
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Envelope condition method with an application to default risk models
Arellano, Cristina; Maliar, Lilia; Maliar, Serguei; … - In: Journal of economic dynamics & control 69 (2016), pp. 436-459
Persistent link: https://www.econbiz.de/10011708605
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
Chi, Guotai; Yuan, Kunpeng; Zhou, Ying; Gong, Lingling - In: The journal of risk model validation 14 (2020) 4, pp. 65-87
Persistent link: https://www.econbiz.de/10014336043
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Estimating an optimal macroeconomic uncertainty index for Australia
Kaya, Havvanur Feyza; Tawadros, George B. - In: Applied economics 54 (2022) 38, pp. 4374-4383
Persistent link: https://www.econbiz.de/10013410971
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Will the Fed ever learn?
Kasa, Kenneth - In: Journal of macroeconomics 21 (1999) 2, pp. 279-292
Persistent link: https://www.econbiz.de/10001369045