Volatility model risk measurement and against worst case volatilities
Risklab project in model risk (2000)
Journal de la société française de statistique
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Risklab project in model risk (2000)
Journal de la société française de statistique
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Tomáš Rusý, Miloš Kopa (2018)
Kybernetika
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We build a multi-stage stochastic program of an asset-liability management problem of a leasing company, analyse model results and present a stress-testing methodology suited for financial applications. At the beginning, the business model of such a company is formulated. We introduce three various risk constraints, namely the chance constraint, the Value-at-Risk constraint and the conditional Value-at-Risk constraint along with the second-order stochastic dominance constraint, which...
Helgard Raubenheimer, Machiel F. Kruger (2010)
Kybernetika
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Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over...
Martin Šmíd, Miloš Kopa (2017)
Kybernetika
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We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...
Lane P. Hughston, Andrea Macrina (2008)
Banach Center Publications
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We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing...
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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Lindström, Erik (2010)
Advances in Decision Sciences
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Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
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Wang, J.K. (2001)
Discrete Dynamics in Nature and Society
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