Search Results - subject:"replicating portfolio"

Determinants of bank performance: Evidence from replicating portfolios

Altavilla, Carlo; Begenau, Juliane; Burlon, Lorenzo; … - 2024

We construct a novel measure of bank performance, investigate its determinants, and show that it affects bank resilience, lending behaviour and real outcomes. Using confidential and granular data, we measure performance against a market-based benchmark portfolio that mimics individual banks'...

Persistent link: https://www.econbiz.de/10014543609

Determinants of bank performance : evidence from replicating portfolios

Altavilla, Carlo; Begenau, Juliane; Burlon, Lorenzo; … - 2024

Persistent link: https://www.econbiz.de/10014528253

Why are interest rates on bank deposits so low?

Busch, Ramona; Memmel, Christoph - 2021

portfolio theory to the pass-through topic, we show that replicating portfolio approaches, which are used mainly by smallbanks … corresponds to a replicating portfolio approach. …

Persistent link: https://www.econbiz.de/10012698568

Why Are Interest Rates on Bank Deposits so Low?

Busch, Ramona; Memmel, Christoph - In: Credit and Capital Markets – Kredit und Kapital 54 (2021) 4, pp. 641-668

portfolio theory to the pass-through topic, we show that replicating portfolio approaches are often equivalent to regression … approaches and that, under some assumptions, the classical regression approach corresponds to a replicating portfolio approach. …

Persistent link: https://www.econbiz.de/10014522170

Why are interest rates on bank deposits so low?

Busch, Ramona; Memmel, Christoph - 2021

portfolio theory to the pass-through topic, we show that replicating portfolio approaches, which are used mainly by smallbanks … corresponds to a replicating portfolio approach. …

Persistent link: https://www.econbiz.de/10012697977

Do banks have an edge?

Begenau, Juliane; Stafford, Erik - 2018

Persistent link: https://www.econbiz.de/10011928983

Why are interest rates on bank deposits so low?

Busch, Ramona; Memmel, Christoph - In: Credit and capital markets : Kredit und Kapital 54 (2021) 4, pp. 641-668

Persistent link: https://www.econbiz.de/10012939038

Economic neutral position : how to best replicate not fully replicable liabilities?

Kunz, Andreas; Popp, Markus - In: Insurance / Mathematics & economics 96 (2021), pp. 53-67

Persistent link: https://www.econbiz.de/10012482749

Mathematical analysis of replication by cash flow matching

Natolski, Jan; Werner, Ralf - In: Risks 5 (2017) 1, pp. 1-15

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within … replicating portfolio problem. In contrast to the two most popular replication approaches, it does not yield an analytic solution … the replicating portfolio equals the fair value of liabilities. Based on these insights, we argue that this unloved …

Persistent link: https://www.econbiz.de/10011709586

Mathematical analysis of replication by cash flow matching

Natolski, Jan; Werner, Ralf - In: Risks : open access journal 5 (2017) 1, pp. 1-15

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within … replicating portfolio problem. In contrast to the two most popular replication approaches, it does not yield an analytic solution … of the replicating portfolio equals the fair value of liabilities. Based on these insights, we argue that this unloved …

Persistent link: https://www.econbiz.de/10011636566