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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

Risk management of savings accounts

Džmuráňová, Hana; Teplý, Petr - 2014

This paper deals with the risk management of savings accounts. Savings accounts are non-maturing accounts bearing a relatively attractive rate of return and two embedded options: a customer's option to withdraw money at any time and a bank's option to set the deposit as it wishes. The risk...

Persistent link: https://www.econbiz.de/10010420216

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 their Solvency II framework for the computation of risk capital. In this note we elaborate on one specific formulation of a replicating portfolio problem. In contrast to the two...

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

Ruin probability for the insurer-reinsurer model for exponential claims: A probabilistic approach

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks 9 (2021) 5, pp. 1-10

In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line. Such a contract reduces the insurer's exposure to the...

Persistent link: https://www.econbiz.de/10013200754

The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

Berninger, Christoph; Pfeiffer, Julian - In: European Actuarial Journal 11 (2021) 2, pp. 677-705

Especially in the insurance industry interest rate models play a crucial role, e.g. to calculate the insurance company's liabilities, performance scenarios or risk measures. A prominant candidate is the 2-Additive-Factor Gaussian Model (Gauss2++ model)—in a different representation also known...

Persistent link: https://www.econbiz.de/10014501762

The Solvency II Standard Formula, linear geometry, and diversification

Paulusch, Joachim - In: Journal of Risk and Financial Management 10 (2017) 2, pp. 1-12

function and hence a risk measure that preserves homogeneity, subadditivity and convexity. …

Persistent link: https://www.econbiz.de/10011843289

Testing for long-run homogeneity in the Linear Almost Ideal Demand System An application on Norwegian quarterly data for non-durables

Skjerpen, Terje; Swensen, Anders Rygh - 2000

We consider testing for long-run homogeneity within a dynamic consumer demand system allowing for non …-run homogeneity within this system utilizing a triangular representation. Both long-run homogeneity in single equations and in the … variables capturing trend and seasonality). Before testing for long-run homogeneity we test whether prices and real total …

Persistent link: https://www.econbiz.de/10011968059

An empirically-based taxonomy of Dutch manufacturing : innovation policy implications

Raymond, Wladimir; Mohnen, Pierre A.; Palm, Franz; van … - 2004

The paper studies the degree of homogeneity of innovative behavior in order to determine empirically an industry …

Persistent link: https://www.econbiz.de/10010275860

Moving average stratification algorithm for strata boundary determination in skewed populations

Kareem, Akeem O.; Oshungade, Isaac O.; Oyeyemi, Gafar M.; … - In: CBN Journal of Applied Statistics 06 (2015) 1, pp. 205-217

Moving Average Stratification (MAS) is a new competing and simple algorithm for strata boundary determination in Stratified Sampling. It eliminates arbitrary choice of class interval associated with cumulative square root of frequency method (Dalenius and Hodges Rule (DHR) 1959) and the inherent...

Persistent link: https://www.econbiz.de/10011482607

Heads and tails of earnings management: Quantitative analysis in emerging countries

Durana, Pavol; Valaskova, Katarina; Chlebikova, Darina; … - In: Risks 8 (2020) 2, pp. 1-21

development of earnings management in both countries, based on homogeneity analyses. These facts identify significant parallels …

Persistent link: https://www.econbiz.de/10013200590

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