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Analytic decision rules for financial stochastic programs

Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

Persistent link: https://www.econbiz.de/10011303296

The effects of liquidity regulation on bank assets and liabilities

Duijm, Patty; Wierts, Peter - 2014

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

Persistent link: https://www.econbiz.de/10010240057

Banks and market liquidity

Arping, Stefan - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

Persistent link: https://www.econbiz.de/10010477097

Market liquidity and exposure of hedge funds

Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011

Persistent link: https://www.econbiz.de/10009720730

Automated response surface methodology for stochastic optimization models with unknown variance

Nicolai, Robin P.; Dekker, Rommert - 2005

Response Surface Methodology (RSM) is a tool that was introduced in the early 50's by Box and Wilson (1951). It is a collection of mathematical and statistical techniques useful for the approximation and optimization of stochastic models. Applications of RSM can be found in e.g. chemical,...

Persistent link: https://www.econbiz.de/10011343271

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

Persistent link: https://www.econbiz.de/10008655195

Stochastic dominance : convexity and some efficiency tests

Lizyayev, Andrey M. - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...

Persistent link: https://www.econbiz.de/10011379506

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

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