We study the problem of asset and liability management of participating insurance policies with guarantees. We develop a scenario optimization model for integrative asset and liability management, analyze the tradeoffs in structuring such policies, and study alternative choices in funding them....

Insurers increasingly offer policies that converge with the products of the capital markets, and they face a need for integrative asset and liability management strategies. In this paper we show that an integrative approach -- based on scenario optimization modeling -- adds value to the risk...

We address the problem of portfolio management in the international bond markets. Interest rate risk in the local market, exchange rate volatility across markets, and decisions for hedging currency risk are integral parts of this problem. The paper develops a stochastic programming optimization...

In this paper we propose a framework to assess the efficiency of bank branch networks operating in different financial environments. The framework can be used to disentangle within- from between-country performance differences. The framework is constructive in that it identifies operational...

This paper develops a general framework for combining strategic benchmarking with efficiency benchmarking of the services offered by bank branches. In particular, the service-profit chain is cast as a cascade of efficiency benchmarking models. Three models-based on Data Envelopment Analysis...

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 literatures advocate a positive relationship between quality and financial...

We discuss extensions of intensity based models for pricing credit risk and derivative securities to the simulation and valuation of portfolios. The stochasticity in interest rates, credit spreads (default intensities) and rating migrations are incorporated in a unified framework. Scenarios of...

We study currency risk management in the context of scenario analysis. We develop scenario-based optimization models that jointly determine the portfolio composition and the hedging strategy within each currency. Thus the model prescribes optimal selective hedging policies. We then study...

The financial sector is one of the most, if not the most significant economic sector in modern societies. In advanced countries, it employs more people than major manufacturing industries combined and accounts for a high percentage of the Gross Domestic Product. But the financial services sector...

In this paper we develop a multi-factor model for the yields of corporate bonds. The model allows the analysis of factors which influence the changes in the term structure of corporate bonds. More than 98% of the variability in the corporate bond market is captured by the model, which is then...