Relevant bibliographies by topics / Asset liability approach

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Asset liability approach'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Asset liability approach"

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Schreiber, Susanne. "Der Asset-Liability-Approach." WiSt - Wirtschaftswissenschaftliches Studium 36, no. 11 (2007): 572–77. http://dx.doi.org/10.15358/0340-1650-2007-11-572.

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Berkelaar, Arjan, and Roy Kouwenberg. "A liability-relative drawdown approach to pension asset liability management." Journal of Asset Management 11, no. 2-3 (June 2010): 194–217. http://dx.doi.org/10.1057/jam.2010.13.

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Mease, Jennifer J., and Brittany L. Collins. "Asset, liability, possibility." Equality, Diversity and Inclusion: An International Journal 37, no. 7 (September 18, 2018): 664–82. http://dx.doi.org/10.1108/edi-05-2017-0114.

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Purpose This analysis draws on interviews with 19 self-identified US diversity consultants and 94 diversity statements posted on corporate websites. The findings challenge existing literature that characterizes the business case for diversity as monolithic and wholly problematic for the way it constructs understandings of human difference. The authors accomplish this using metaphor analysis to demonstrate how business case arguments incorporate three metaphorical systems for thinking and speaking about human differences – as asset, as liability and as possibility. Given this diversity of metaphors, the business case does not construct human difference in a monolithic way, but in a variety of ways that both challenge and sustain problematic treatments of difference. The authors argue scholars and practitioners should attend to these nuanced difference within the discourse of the business case, and more carefully consider how these metaphorical systems both enable and constrain the design and execution of diversity work in organizations. The paper aims to discuss these issues. Design/methodology/approach The analysis draws on two data sets: initial interviews with 19 self-identified US diversity consultants analyzed using metaphor analysis. To triangulate findings, the metaphorical framework was applied to 94 diversity statements posted on corporate websites. Findings Business case arguments operate according to three root metaphors of human difference: human difference as asset, human difference as liability and human difference as possibility. This challenges existing literature that treats the business case as a monolithic discourse. Research limitations/implications This analysis offers the three metaphorical system and highlights the “constrained capacity” of each. This framework offers an analytical and practical tool for scholars and practitioners, enabling them to more thoroughly understand and respond to their unique organizational and socio-historical context. It also provides a way to analyze how concepts of difference are mobilized across social and historical contexts. Practical implications The findings offer the “constrained capacity” that is, the strategic limitations and possibilities for practitioners who use the business case in their diversity work. This enables more skilled and ethically informed diversity initiatives. Social implications The findings offer insight into the subtle ways that hierarchies of human difference embedded in US history are subtly reinforced and made present through language. This enables social justice workers to better challenge problematic constructions of human difference and create new understandings when needed. Originality/value This piece makes two significant original contributions to existing literature. It offers more nuance to both critical and uncritical analyses of the business case by showing the diversity of business case assumptions about human difference as demonstrated in three different metaphorical systems and highlighting the constrained capacity of three different metaphorical systems. It offers unique analysis grounded in contemporary discourses, but correlated to historical systems of thought. This enables empirical identification of how certain types of thinking about human difference move across socio-historical contexts.
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BOLLA, LIDIA, HAGEN WITTIG, and ALEXANDER KOHLER. "The liability market value as benchmark in pension fund performance measurement." Journal of Pension Economics and Finance 15, no. 1 (October 28, 2014): 90–111. http://dx.doi.org/10.1017/s147474721400033x.

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AbstractOften performance of pension funds is assessed based on the development of the assets only, neglecting the simultaneous development of the liabilities. This especially is the case in Switzerland, one of the world's largest markets for corporate pension funds. We create a new liability benchmark for referencing the asset performance. Measuring the asset performance with respect to the liability benchmark yields the Asset-Liability-Result. We apply the model to (i) the Swiss pension fund market as a whole and (ii) an individual Swiss pension fund. With our new approach, we are able to show that the pension funds’ recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. We strongly advocate the use of a liability benchmark for analyzing the entire pension fund markets’ performance and specifically as operational tool for individual pension funds.
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Decamps, Marc, Ann De Schepper, and Marc Goovaerts. "A path integral approach to asset-liability management." Physica A: Statistical Mechanics and its Applications 363, no. 2 (May 2006): 404–16. http://dx.doi.org/10.1016/j.physa.2005.08.059.

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Mifanyira, Franciska, Indah Dwi M. J., and Mega Dwi A. "Bank Liability in Trustee Agreement in Insolvency Status." Kanun Jurnal Ilmu Hukum 21, no. 3 (February 13, 2020): 487–512. http://dx.doi.org/10.24815/kanun.v21i3.13872.

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A trust agreement is a special agreement in banking gives the bank the right and authority to manage the customer's assets as stated to the agreement The assets of trust assets are the property of the customer, the management of the assets must be separately carried out to implement the Prudential Principle and Pacta Sunt Servanda in banking contract. This Legal Research use normative positivist with the using of Statute and Conseptual Approach along with three research sources. This Legal Research focus on the Legal Consequences in the Trustee Agreement and Liability of Bank in the case of Bank include the Settlor’s asset as the Insolvency Asset. The Research result are Bank only as a manager of Asset so every legal conduct must have approval of Settlor so If the asset is included the Insolvency Asset is a contract and law violation so it should be fixed by the contractual dispute settlement. Tanggung Jawab Bank dalam Trustee Agreement pada Keadaan Kepailitan Perjanjian kepercayaan adalah perjanjian khusus dibidang perbankan yang memberi-kan hak dan wewenang kepada bank untuk mengelola aset pelanggan sebagaimana dinyatakan dalam perjanjian. Aset kepercayaan adalah milik pelanggan, pengelolaan aset harus dilakukan secara terpisah untuk menerapkan Prinsip Kehati-hatian dan Pacta Sunt Servanda dalam kontrak perbankan. Penelitian Hukum ini menggunakan metode positivis normatif dengan menggunakan undang-undang dan pendekatan konseptual bersama dengan tiga sumber penelitian. Penelitian Hukum ini fokus pada konsekuensi hukum dalam perjanjian perwaliamanatan dan Pertang-gungjawaban Bank dalam kasus Bank termasuk aset Settlor sebagai Aset Kepailitan. Hasil Penelitian adalah bank hanya sebagai manajer Aset sehingga setiap tindakan hukum harus memiliki persetujuan Settlor sehingga jika aset dimasukkan Aset Aset Kepailitan adalah kontrak dan pelanggaran hukum sehingga harus diperbaiki dengan penyelesaian sengketa kontrak.
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Cheridito, Patrick, John Ery, and Mario V. Wüthrich. "Assessing Asset-Liability Risk with Neural Networks." Risks 8, no. 1 (February 9, 2020): 16. http://dx.doi.org/10.3390/risks8010016.

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We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We illustrate the method on different examples from banking and insurance. We focus on value-at-risk and expected shortfall, but the approach also works for other risk measures.
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Clarkson, R. S. "Asset/liability modelling and the downside approach to risk." Insurance: Mathematics and Economics 17, no. 1 (August 1995): 76. http://dx.doi.org/10.1016/0167-6687(95)91097-6.

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Dempster, M. A. H., and E. A. Medova. "Asset liability management for individual households." British Actuarial Journal 16, no. 2 (November 25, 2011): 405–39. http://dx.doi.org/10.1017/s135732171100016x.

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AbstractPersonal finance is a challenging topic which can benefit from a scientific approach to individual financial planning. This paper presents an individual asset liability management (iALM) model for life cycle planning which uses the methodology of dynamic stochastic optimisation and incorporates ideas from both classical and behavioural finance. Its implementation is in the form of a decision support tool for use by financial advisers or wealth managers. The investment universe is given by a set of indices for major asset classes and their returns are simulated forward over the lifetime of a household. On the liability side the foreseen cash flows of incomes and outgoings are simulated and punctuated by life events such as illness and death. The household's utility function is constructed for each time period over a range of monetary values in terms of household financial goals and preferences. Taxes and pension savings are treated using the tax shielded saving accounts specific to a national jurisdiction in terms of constraints in the optimisation sub-models. The paper goes on to present an analysis ofiALM model recommendations for a representative UK household, together with an evaluation of the sensitivity of the financial plan generated to changes in market environments such as the 2007–9 crisis. The promise of this new technology is to bring modern decision support tools to individual investors in order to facilitate custom designed consumption, savings and investment policies.
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Moscariello, Nicola, Fabio La Rosa, Francesca Bernini, and Pietro Fera. "Revenue-expense versus asset-liability model." Meditari Accountancy Research 28, no. 2 (February 8, 2020): 277–310. http://dx.doi.org/10.1108/medar-04-2019-0465.

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Purpose The purpose of this study is to analyse the impact of two different financial reporting models (revenue-expense vs asset-liability) on several earnings attributes. Design/methodology/approach The analysis compares the earnings attributes of non-financial private firms using the Italian generally accepted accounting principles (Italian GAAP, based on a revenue-expense model) with those of the Italian non-financial private firms voluntarily adopting the international financial reporting standards (IFRS, based on the asset-liability model). To address major methodological concerns, the research design is based on a single-country analysis and on three different samples as follows: firms voluntarily adopting IFRS; a matched sample of Italian GAAP firms; Italian GAAP firms belonging to the Elite programme, and therefore, comparable to the IFRS adopters in terms of incentives towards financial reporting transparency. Findings The results show that firms reporting under a revenue-expense model are characterized by a stronger revenue-expense matching degree, along with higher earnings’ persistence, earnings’ predictability and conditional conservatism than firms adopting an asset-liability model. In addition, contrary to the expectations, Italian GAAP firms do not present smoother earnings and do not report greater abnormal accruals than IFRS adopters do. Overall, the findings suggest that the switch from a revenue-expense model to an asset-liability model negatively affects several earnings attributes of non-financial private companies, shedding new light on the drawbacks associated with the adoption of the IFRS accounting model. Originality/value This study addresses a theme characterized by sparse research efforts, adding new insights to the debate on the decline in the quality of earnings and on the drawbacks associated with the adoption of the IFRS accounting model.
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Dissertations / Theses on the topic "Asset liability approach"

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Kim, Joocheol. "Stochastic programming approach to asset liability management under uncertainty." Diss., Georgia Institute of Technology, 2000. http://hdl.handle.net/1853/25324.

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Raubenheimer, Helgard. "A multi-period stochastic programming approach to integrated asset and liability management of investment products with guarantees / Helgard Raubenheimer." Thesis, North-West University, 2009. http://hdl.handle.net/10394/4273.

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In recent years investment products have become more complex by providing investors with various guarantees and bonus options. This increase in complexity has provided an impetus for the investigation into integrated asset and liability management frameworks that could realistically address dynamic portfolio allocation in a risk-controlled way. This thesis presents two stochastic programming frameworks forthe asset and liability management of investment products with guarantees. The asset side of these products usually contains fixed income securities. For this reason we are concerned with the stochastic evolution of the shape of the term structure of interest rates (or yield curve) over time. Literature in the field of scenario generation for multi-period stochastic programs has stated that the generation of a set of scenarios, which represents the uncertainty in the evolution of these risk factors over time, is one of the most important and critical steps in the multi-stage stochastic programming approach. The first part of this thesis presents two methods for yield curve scenario generation. The first method uses a moment-matching approach and the second a simulation approach which takes the movement of macro-economic factors into account. In asset and liability management under uncertainty, using stochastic programming, it is sometimes necessary to take into account flexible risk management actions, for example the reinvestment of coupons or the payment of liabilities at time steps smaller than those at which portfolio rebalancing (or restructuring, i.e. changing the portfolio composition) takes place. The yield curve scenarios at these intermediate time points have to be path dependent. Firstly this thesis proposes a momentmatching approach to construct scenario trees with path dependent intermediate discrete yield curve outcomes sufficient for the pricing of fixed income securities. As part of the second approach we estimate an econometric model that fits the South African term structure of interest rates, using a Kalman filter approach. The proposed model includes four latent factors and three observable macro-economic factors (capacity utilisation, inflation and repo-rate). The goal is to capture the dynamic interactions between the macro-economy and the term structure. The resulting model can be used to generate interest rate scenario trees that are suitable for fixed income portfolio optimisation. An important input into our scenario generator is the investor's view on the future evolution of the repo-rate. In practice most financial institutions have views on the macro-economy. These views are produced by means of an economic scenario generator (ESG) or expert opinion. These ESG's only produce forecasts for macro-economic factors, for example the repo-rate and not a complete yield curve. The second part of this thesis introduces and solves two asset and liability problems. The first problem is the asset and liability management of minimum liquid asset portfolios found in the banking environment and the second problem is the asset and liability management of insurance products with minimum guarantees. We discuss the formulation and implementation of these mUlti-stage stochastic programming models and back-test both models on real market data. Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for some 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 allowed liquid assets to comply with regulations. This thesis proposes a mUlti-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multiperiod horizon, as well as for flexible risk management actions, such as reinvesting coupons at intermediate time steps. The second problem is the asset and liability management of insurance products with minimum guarantees. This thesis proposes a mUlti-stage dynamic stochastic programming model for the integrated asset and liability management of insurance products with guarantees that minimise the down-side risk of these products. We investigate with-profits guarantee funds by including regular bonus payments while keeping the optimisation problem linear. The main focus is the formulation and implementation of a multi-stage stochastic programming model Dynamic optimization is perceived to be too difficult. .. It would be nice to have a generic 'sledge hammer' approach for attacking this sort of problem. 1 A. D. Smith (1996), p. 1085
Thesis (Ph.D. (Risk Analysis))--North-West University, Potchefstroom Campus, 2010
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Dobler, Michael. "Rethinking revenue recognition." Inderscience Publishers, 2008. https://tud.qucosa.de/id/qucosa%3A36452.

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Revenue recognition is one of the most crucial issues in financial reporting and the prevalent source for recent accounting scandals. International financial reporting standard setters are conducting a major project rethinking revenue recognition. Tentative proposals of the project Revenue Recognition feature an asset-liability approach relying on measurement at fair values or at allocated customer consideration amounts. This paper chooses construction contracts to illustrate and to evaluate the far-reaching changes implied by the proposals in a multi-period context. Main results suggest that the proposals are ambivalent in terms of relevance but critical in terms of reliability compared to the recent treatment under IAS 11. Particularly, a pure fair value approach yields irritating patterns of revenue recognition found inappropriate for stewardship purposes. While its adoption for revenue recognition under IFRSs is unlikely due to regulatory incompatibilities, measuring performance obligations at allocated consideration amount partly mitigates the concerns.
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Donatien, Hainaut. "Asset liability management individual and institutional approaches." Saarbrücken VDM Verlag Dr. Müller, 2008. http://d-nb.info/988922525/04.

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Tu, Wan-Ching, and 杜婉菁. "Asset and Liability Modeling for Participating Policies with Guarantees：a stochastic approach." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/13777691924991256874.

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碩士
淡江大學
保險學系保險經營碩士班
92
The study focuses on the asset and liability management of participating ploicies with guarantee using a simulation technique. We apply the model of Consiglio et. al（2002）to construct the cash flow of the participating ploicy. We assume the participating fund is invested in two assets. The future dynamics of the return rates of these two assets are assumed to follow multivariate normal distribution. In order to investigate the optimal asset allocation for the participating policies with guarantee, we deal with four different objective functions. We found that the assets were almost allocated to non-risk one.
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Yi-Feng, Hung, and 洪一峰. "An Application of System Dynamics Approach on Commercial Bank''s Asset and Liability Management." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/81803294480636734873.

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碩士
國立臺灣科技大學
資訊管理系
90
Banking system plays the most important role in monetary system. A completely intermediary function by monetary system posts a great help in national economic growth. The operation of bank is very sensitive to the credit of both creditor and major debtor. Any slight commotion or disquiet to a bank’s credit, massive amount of saving account contract rescission can be expected. This kind of crisis is very possible to lead to a consequence of bankrupt. Therefore, the credit management of bank in Taiwan is very important; especially at this moment when Taiwan is trying very hard to promote it’s international competitiveness and become the Far East financial center. Good credit of a bank is not only helps to stabilizing and gathering capital but also contributes to build a healthy monetary system.Mobility, security, and profitability are the three major principles in financial planning, management, and control. How to make the right choice between the three principles is out of the key factors to a bank’s retaining business and keeping it’s own competitiveness. This research uses a system dynamic approach to offer a simulation laboratory of capital asset and debt management policies. This simulation laboratory is a systematic, dynamic laboratory with a view of whole banking system. All different kinds of asset and debt management policies can be tested in the model to examine the influences on bank’s profit. The results of this study can be listed as the following： （1）In order to keep profit or some other purposes, all banks should face the choice between mobility, security and profitability when making important decision. Sometimes the banks even need to sacrifice the management of risk control. （2）Mobility policies are not recommended to a bank in unstable business environment. Such choices would be accompnied potential with higher risk and, thus, lead to a unsteady situation to both managerial personnel and business goals achievement. （3）Due to the inefficiency of financial markets, delay effects on the adjustment of financial products appeared from time to time. In contrast, the effects of all monetary policies of banks can only appear after a certain period
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Porth, Lysa M. "A portfolio optimization model combining pooling and group buying of reinsurance under an asset liability management approach." 2011. http://hdl.handle.net/1993/4765.

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Some insurance firms are faced with the unique challenge of managing risks that are large, infrequent, and potentially highly correlated within geographic regions and/or across product lines. An example of this is crop insurance, which includes weather risk, and leads to a portfolio of risks with high variance. A solution to this problem is undertaken in this study, through using a combination of pooling and private reinsurance in a portfolio approach. This approach takes advantage of offsetting risks across regions, in order to reduce risk in a cost effective manner. An asset liability management (ALM) approach is used to examine the entire crop insurance sector for Canada. This is the first study to focus on pooling for an entire insurance sector in a country, and it uses all major crops from 1978-2009, across 10 regions (provinces). Chapter two develops an innovative insurance portfolio under a full premium pool, combining a self managed insurance pool and private reinsurance using the coefficient of variation (CV) of the loss coverage ratio (LCR), Model 3. Results show that this portfolio approach reduces risk across regions. Chapter three, in contrast to chapter two, uses a reinsurance premium pool, where regions contribute only a portion of their risk to a reinsurance pool. An improved insurance portfolio model is developed in chapter three, using combinatorial optimization with a genetic algorithm to combine a self managed reinsurance pool and private reinsurance, Model C. Results show that this reinsurance portfolio model efficiently reduces risk. Chapter four uses a similar approach to chapter three, except that it allows for dependence (correlation) across regions. Results for this model (Model CC) are consistent with those of chapter three, indicating the effectiveness of the portfolio approach when correlation is present across regions. Overall, the portfolio models developed in each of the three chapters (Model 1, Model C, and Model CC), produce acceptable surplus, survival probability, and deficit at ruin, indicating that the portfolio approach using pooling is efficient for reducing risk. Beyond crop insurance, the portfolio models can be applied to other large natural disaster and weather related insurance, and other portfolio applications.
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Books on the topic "Asset liability approach"

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Gardner, Mona J. Managing financial institutions: An asset/liability approach. Chicago: Dryden Press, 1988.

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Gardner, Mona J. Managing financial institutions: An asset/liability approach. 2nd ed. Chicago: Dryden Press, 1991.

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L, Mills Dixie, and Cooperman Elizabeth S. 1949-, eds. Managing financial institutions: An asset/liability approach. 4th ed. Ft. Worth: Dryden Press, 2000.

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L, Mills Dixie, ed. Managing financial institutions: An asset / liability approach. Chicago: Dryden, 1988.

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Gardner, Mona J. Managing financial institutions: An asset/liability approach. 3rd ed. Fort Worth: Dryden Press, 1994.

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Schoenebeck, Karen P. Interpreting and analyzing financial statements: A project-based approach. 5th ed. Upper Saddle River, N.J: Prentice Hall, 2010.

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P, Holtzman Mark, ed. Interpreting and analyzing financial statements: A project-based approach. 5th ed. Upper Saddle River, N.J: Prentice Hall, 2010.

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Praveen, Parboteeah, ed. Multinational management: A strategic approach. 4th ed. Mason, OH: Thomson/South-Western Pub., 2008.

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Multinational management: A strategic approach. Cincinnati, Ohio: South-Western College Pub., 1999.

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B, Cullen John. Multinational management: A strategic approach. 3rd ed. Mason, OH: South-Western, 2003.

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Book chapters on the topic "Asset liability approach"

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Berkelaar, Arjan, and Roy Kouwenberg. "A Liability-Relative Drawdown Approach to Pension Asset Liability Management." In Asset and Liability Management Handbook, 352–82. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230307230_14.

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Iyengar, Garud, Alfred Ka, and Chun Ma. "A Robust Optimization Approach to Pension Fund Management." In Asset and Liability Management Handbook, 308–30. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230307230_12.

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diBartolomeo, Dan. "The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management." In Asset and Liability Management Handbook, 433–42. London: Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230307230_17.

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Dus, Ivica, and Raimond Maurer. "Integrated Asset Liability Modelling for Property Casualty Insurance: A Portfolio Theoretical Approach." In Handbuch Institutionelles Asset Management, 447–63. Wiesbaden: Gabler Verlag, 2003. http://dx.doi.org/10.1007/978-3-663-01551-2_21.

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Guzel, Adnan. "Risk, Asset and Liability Management in Banking: Conceptual and Contemporary Approach." In Contributions to Finance and Accounting, 121–77. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-72624-9_7.

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Onorato, Mario. "Bank Strategic Planning Process a Multifactor Asset and Liability Risk Management Approach." In Financial Modelling, 101–12. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-86706-4_6.

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Seebacher, Kathrin Sarah. "B Theoretische Fundierung eines Asset and Liability Approach als Referenzrahmen für die Implementierung konsistenter IFRS aus der Perspektive der Entscheidungsnützlichkeit." In Leasingbilanzierung nach IFRS und ihre Implikationen für schwebende Verträge, 11–35. Wiesbaden: Springer Fachmedien Wiesbaden, 2014. http://dx.doi.org/10.1007/978-3-658-06639-0_2.

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Seebacher, Kathrin Sarah. "C Analyse der Reformvorschläge des ED 2010/9 zur Überarbeitung der Leasingbilanzierung nach IFRS im Kontext des Asset and Liability Approach." In Leasingbilanzierung nach IFRS und ihre Implikationen für schwebende Verträge, 37–148. Wiesbaden: Springer Fachmedien Wiesbaden, 2014. http://dx.doi.org/10.1007/978-3-658-06639-0_3.

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Sonlin, Stephen M., and Hans-Jürgen Wolter. "Asset Liability Management — Instruments and Approaches." In Handbuch Institutionelles Asset Management, 465–79. Wiesbaden: Gabler Verlag, 2003. http://dx.doi.org/10.1007/978-3-663-01551-2_22.

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Damel, Pascal, and Nadège Ribau-Peltre. "Scientific Methodology to Model Liquidity Risk in UCITS Funds with an Asset Liability Approach: A Global Response to Financial and Prudential Requirements." In Advances in Intelligent Systems and Computing, 389–99. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-18167-7_34.

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Conference papers on the topic "Asset liability approach"

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Fontoura, Alan, Diego Haddad, and Eduardo Bezerra. "A Deep Reinforcement Learning Approach to Asset-Liability Management." In 2019 8th Brazilian Conference on Intelligent Systems (BRACIS). IEEE, 2019. http://dx.doi.org/10.1109/bracis.2019.00046.

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Von Lucken, Christian Daniel, Benjamin Baran, Fabian Laufer, Margarita Rojas, Walter Delgado, and Mariano Escurra. "A Parallel Multi-Criterion Evolutionary Approach for Pension Fund Asset Liability Management." In 9th Joint Conference on Information Sciences. Paris, France: Atlantis Press, 2006. http://dx.doi.org/10.2991/jcis.2006.180.

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Chang, Hao, Xi-min Rong, and Hui Zhao. "Asset and liability management for exponential utility preference in an incomplete market: The martingale approach." In EM). IEEE, 2010. http://dx.doi.org/10.1109/ieem.2010.5674390.

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"A Stochastic Programming Approach for the Asset and Liability Management of a Real Estate Investment Trust." In 14th Annual European Real Estate Society Conference: ERES Conference 2007. ERES, 2007. http://dx.doi.org/10.15396/eres2007_396.

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Nieto, Armando, Angel A. Juan, Renatas Kizys, and Christopher Bayliss. "Asset and Liability Management in Insurance Firms: A Biased-Randomised Approach Combining Heuristics with Monte-Carlo Simulation." In SW20: The OR Society Simulation Workshop. The OR Society, 2020. http://dx.doi.org/10.36819/sw20.036.

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Nieto, Armando, Angel A. Juan, Renatas Kizys, and Christopher Bayliss. "Asset and Liability Management in Insurance Firms: A Biased-Randomised Approach Combining Heuristics with Monte-Carlo Simulation." In SW21 The OR Society Simulation Workshop. Operational Research Society, 2021. http://dx.doi.org/10.36819/sw21.044.

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Rossi, Paola, Itai Sela, Adam Rizika, Diogenes Angelidis, Mark Duck, and Ron Morrison. "Cyberdefence of Offshore Deepwater Drilling Rigs." In Offshore Technology Conference. OTC, 2021. http://dx.doi.org/10.4043/31235-ms.

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Abstract An alternative methodology using new preventative technology to manage cybersecurity exposure on deepwater drilling rig assets is presented. For the past two years Shell's Deepwater Wells business has been evaluating typical cyber defence approaches and undertaken cybersecurity risk assessments and penetration tests. These activities have demonstrated the challenges attaining cybersecure drilling rig environments. Whilst cyberattacks increase in frequency, adaptability, and become cheaper to launch, regulatory and liability insurance requirements are also evolving. To achieve the goal of cyber-resilience, a major Operator has collaborated with a cybersecurity firm to trial technology for rapidly and reliably protecting deepwater rigs. The paper presents aspects of the numerous challenges faced and offers a different approach using new technology applied to both supplement and accelerate the attainment of a cyber-resilient environment onboard deepwater drilling rigs. It shares the deep dive lessons learnt leading to a more comprehensive understanding of how to protect drilling rigs and their safety critical control systems. Aside from addressing technical attributes using risk vs. maturity based methods, the approach also caters to business demands of short term rig contracts, managing multi-vendor legacy systems and satisfying increasing digitalisation/remote access needs with associated reductions in overall cybersecurity CAPEX spend.
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Carroll, Ernest A., and Dan B. Rathbone. "Using an Unmanned Airborne Data Acquisition System (ADAS) for Traffic Surveillance, Monitoring, and Management." In ASME 2002 International Mechanical Engineering Congress and Exposition. ASMEDC, 2002. http://dx.doi.org/10.1115/imece2002-32916.

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This paper presents the history of and current status of a U.S. DOT and NASA sponsored program designed to demonstrate the feasibility of using a small-unmanned airborne data acquisition system (ADAS) for traffic surveillance, monitoring, and management. ADAS is ideally suited for application in monitoring traffic flow, traffic congestion, and supporting ITS assets. GeoData Systems (GDS), Inc., with principal offices at 10565 Lee Highway, Suite 100, Fairfax, VA 22030 has developed a revolutionary new class of airborne data acquisition systems. In this effort, GDS has teamed with traffic experts DBR & Associates; P.O. Box 12300 Burke, VA. The GDS ADAS has a gross takeoff weight of less than 55 lbs, which includes both the airframe and sensors. It is capable of sustained flight for periods in excess of two hours while carrying a sensor payload of up to 20 lbs. ADAS has nine interchangeable sensor platforms under development to include a hyper-spectral visible-near-IR sensor, a multi-spectral visible near-IR mid-IR sensor, a synthetic aperture radar (SAR) sensor, and a highly flexible high-resolution real-time video sensor. The GDS high-resolution real-time video sensor is ideally suited for traffic monitoring and other highway monitoring applications. The ADAS platform is capable of flying under a combination of pre-programmed Differential Global Positioning Satellite (DGPS) based navigation and manual direct ground control. The ADAS is being fully tested and is planned for use in several DOD base-monitoring studies this year. It should be noted that the ADAS has several levels of backup systems, which allows for a safe descent to the ground via parachute in a worst-case scenario. The system and any liability resulting from its use are fully insured by a major provider. The use of ADAS in traffic surveillance, monitoring, and management is unique and, as far as can be ascertained, has not been used in an official capacity in this way. Because of its ability to collect traffic data, survey traffic conditions, and collect highway inventory and environmental data in a cost-effective manner, and because every metropolitan area needs to collect at least some traffic data, the potential payoff from applying the ADAS is significant. The estimated potential payoff resulting from the use of the ADAS was calculated by taking into consideration information from a recent study conducted for the Federal Highway Administration by the Volpe National Transportation Systems Center1. Using a reported average amount of funds expended annually for traffic data collection by transportation agencies in metropolitan areas with a population of over 200,000 and taking into consideration the estimated budget for staff involved in data collection, it is calculated that transportation agencies in an average metropolitan area spend approximately $5 million per year in traffic data collection. The ADAS can play a cost-saving role in about half of all data collection procedures and can reduce the total cost by 20 percent. Nationally, this could produce an annual savings of $75 million. An additional area where the ADAS can play a useful role is in incident management. It is well documented that more than half of the traffic congestion in the U.S. is caused by incidents, and the problem is getting worse: The percentage of congestion due to incidents is estimated to increase to 70 percent by the year 20053. The Federal Highway Administration further estimates that incident-related traffic congestion will cost the U.S. more than $75 billion in the year 2005, mainly due to lost time and wasted fuel. Comprehensive, accurate surveillance of major incidents will result in a more effective overall response. It can facilitate the process of completing police documentation of incidents, which further reduce their duration. A recent study4 showed that a 23-minute reduction in average incident duration in the Atlanta area saved $45 million in one year. The ADAS is able to provide real time overhead video feeds of an incident and the surrounding traffic situation. In addition, the ADAS can record the incident on video, capturing especially those incidents that are not within the visibility range of any CCTV system, therefore reducing the recording burden of police officers. The valuable role that airborne real-time video can play has been recognized by transportation agencies: The Virginia Department of Transportation (VDOT) has commented enthusiastically on this approach: “…VDOT definitely supports the use of an Unmanned Airborne Sensor for traffic management during a highway incident.” In addition, the Director of the Center for Advanced Transportation Technology of the University of Maryland also has responded positively, writing that, “A project which evaluates the effectiveness of an unmanned airborne data acquisition system in monitoring traffic flow seems to be a step in the right direction toward identifying appropriate and cost-effective remote sensing applications.” Further, in a recent study conducted by the Virginia Transportation Research Council in cooperation with the Federal Highway Administration, researchers concluded that: “the air video reduces the time and personnel needed to acquire data from the field. Further, aerial video may facilitate an objective evaluation of a jurisdiction’s incident response procedures. Finally, aerial video may allow a transportation agency to adopt a proactive approach to traffic management by identifying and evaluating potential problems before they occur. Specifically, problems include the use of residential neighborhoods to bypass congested arterials and heavily used facilities needing snow removal.” Our project is demonstrating how the ADAS can be used in traffic surveillance monitoring and management. The study team is using input from transportation agencies at the state and local level to fine-tune the design of the ADAS application and the analysis and evaluation of the results. Areas where the ADAS can be applied effectively and efficiently are being identified. When completed, the end product of this effort will be a document that will indicate when it is cost-effective to use ADAS relative to other possible methods of data collection and analysis.
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