Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...

Purpose – The purpose of this paper is to examine the relationship between capital structure and debt lifetime among listed companies in Palestine stock market. Design/methodology/approach – This study investigates firms that have been listed on the Palestine securities exchange (PSE) over a...

Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...

Purpose – The paper aims to examine the practical importance of the finding of Mayers and Smith, that underinvestment is a problem when debt exposed to bankruptcy is part of the financial structure. Design/methodology/approach – The paper examines critically the assumptions underlying the...

Purpose – The purpose of this paper is to examine the relationship between capital structure and debt lifetime among listed companies in Palestine stock market. Design/methodology/approach – This study investigates firms that have been listed on the Palestine securities exchange (PSE) over a...

Purpose – Country alpha swaps are proposed to facilitate emerging market risk-sharing, even during global financial crises. Country alphas measure risk-adjusted performance by subtracting the product of average world index returns and the country's beta, measuring its contribution to global...

Purpose – On September 18, 2007, the Federal Reserve Open Market Committee took a major step by cutting the federal funds rate by one-half a percent (50 basis points). The only time this had happened in the USA was immediately after the September 11, 2001 attacks. Then the sub-prime...

Purpose – To contrast the different factors that can determine the level of debt of firms by means of panel data methodology. Design/methodology/approach – The variables used in the study are: size, generated resources, level of warrants, debt cost, growth opportunities, and reputation. Six...

Purpose – An efficient asset-liability management requires maximizing banks' profit as well as controlling and lowering various risks. This multi-objective decision problem aims to reach goals such as maximization of liquidity, revenue, capital adequacy, and market share subject to financial,...

Purpose – The purpose of this paper is to show that the duration-based hedge ratio has many serious defects: first, the yield-to-maturity is not the market interest rate, and it cannot even serve as a proxy for the market interest rate. Second, it is difficult to choose an appropriate bond for...