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Journal articles on the topic 'Asset liability management'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 August 2024

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1

Chiu, Mei Choi, and Hoi Ying Wong. "Mean–variance asset–liability management: Cointegrated assets and insurance liability." European Journal of Operational Research 223, no. 3 (December 2012): 785–93. http://dx.doi.org/10.1016/j.ejor.2012.07.009.

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2

Kritzman, Mark P. "Dynamic Asset/Liability Management." ICFA Continuing Education Series 1987, no. 1 (January 1987): 86–89. http://dx.doi.org/10.2469/cp.v1987.n1.13.

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3

Medova, E. A., J. K. Murphy, A. P. Owen, and K. Rehman. "Individual asset liability management." Quantitative Finance 8, no. 6 (September 2008): 547–60. http://dx.doi.org/10.1080/14697680802402691.

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4

Dempster, M. A. H., M. Germano, E. A. Medova, and M. Villaverde. "Global Asset Liability Management." British Actuarial Journal 9, no. 01 (January 2003): 137–95. http://dx.doi.org/10.1017/s1357321700004153.

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5

Nickel, Andreas. "Simultanes Asset / Liability-Management." Zeitschrift für die gesamte Versicherungswissenschaft 86, no. 1-2 (March 1997): 37–58. http://dx.doi.org/10.1007/bf03188965.

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6

Roikhani, Melati Julia, Nurnasrina Nurnasrina, and Heri Sunandar. "Analisis Kerangka Kerja Asset dan Liability Managament (Alma)." Jurnal Ekonomi Utama 2, no. 2 (July 5, 2023): 117–22. http://dx.doi.org/10.55903/juria.v2i2.59.

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Di era globalisasi ini diikuti dengan perkembangan teknologi yang berubah sangat cepat telah sangat berpengaruh pada aktivitas perbisnisan, termasuk pada bisnis perbankan. Dengan perubahan tersebut, dapat mempengaruhi kebijakan perbankan dalam bidang pengolahan asset dan liability-nya. Metode penelitian yang digunakan dalam tulisan ini adalah studi kepustakaan dengan pendekatan kualitatif. Studi kepustakaan merupakan serangkaian kegiatan yang berkenaan dengan metode pengumpulan data pustaka, membaca, mencatat, serta mengolah bahan penelitian. Penelitian ini membahas tentang penerapan konsep asset and liability management (ALMA) dalam sistem perbankan. Penerapan asset and liability management pada lembaga perbankan, baik itu bank syariah maupun konvensional harus melalui tahap penilaian budget, membuat rencana pendapatan, penilaian kinerja investasi masa lalu, memantau distribusi asset dan liabilitas bank dan menerapkan strategi asset dan liabilitas.

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7

Chiu, Mei Choi. "Mean-variance equilibrium asset-liability management strategy with cointegrated assets." ANZIAM Journal 62 (January 13, 2021): 209–34. http://dx.doi.org/10.21914/anziamj.v62.14649.

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This paper investigates asset-liability management problems in a continuous-time economy. When the financial market consists of cointegrated risky assets, institutional investors attempt to make profit from the cointegration feature on the one hand, while on the other hand they need to maintain a stable surplus level, that is, the company’s wealth less its liability. Challenges occur when the liability is random and cannot be fully financed or hedged through the financial market. For mean–variance investors, an additional concern is the rational time-consistency issue, which ensures that a decision made in the future will not be restricted by the current surplus level. By putting all these factors together, this paper derives a closed-form feedback equilibrium control for time-consistent mean–variance asset-liability management problems with cointegrated risky assets. The solution is built upon the Hamilton–Jacobi–Bellman framework addressing time inconsistency. doi: 10.1017/S1446181120000164

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8

CHIU, MEI CHOI. "MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS." ANZIAM Journal 62, no. 2 (April 2020): 209–34. http://dx.doi.org/10.1017/s1446181120000164.

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AbstractThis paper investigates asset-liability management problems in a continuous-time economy. When the financial market consists of cointegrated risky assets, institutional investors attempt to make profit from the cointegration feature on the one hand, while on the other hand they need to maintain a stable surplus level, that is, the company’s wealth less its liability. Challenges occur when the liability is random and cannot be fully financed or hedged through the financial market. For mean–variance investors, an additional concern is the rational time-consistency issue, which ensures that a decision made in the future will not be restricted by the current surplus level. By putting all these factors together, this paper derives a closed-form feedback equilibrium control for time-consistent mean–variance asset-liability management problems with cointegrated risky assets. The solution is built upon the Hamilton–Jacobi–Bellman framework addressing time inconsistency.

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9

Wruble, Brian F. "Asset/Liability Management in Perspective." ICFA Continuing Education Series 1986, no. 2 (January 1986): 10–16. http://dx.doi.org/10.2469/cp.v1986.n2.3.

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10

Cottin, Claudia. "Asset-Liability-Management von Pensionsfonds." Blätter der DGVFM 22, no. 4 (October 1996): 895–96. http://dx.doi.org/10.1007/bf02808421.

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11

Amenc, Noël, Lionel Martellini, Vincent Milhau, and Volker Ziemann. "Asset-Liability Management in Private Wealth Management." Journal of Portfolio Management 36, no. 1 (October 31, 2009): 100–120. http://dx.doi.org/10.3905/jpm.2009.36.1.100.

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12

Yau, Jot K. "Asset–Liability Management in Private Wealth Management." CFA Digest 40, no. 1 (February 2010): 102–4. http://dx.doi.org/10.2469/dig.v40.n1.71.

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13

Khadzhieva, Laura K., Olga Yu Yanova, and Leila R. Elbieva. "EFFECTIVE APPLICATION OF ARTIFICIAL INTELLIGENCE IN THE BANKING ASSET MANAGEMENT BUSINESS." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 5/6, no. 146 (2024): 158–63. http://dx.doi.org/10.36871/ek.up.p.r.2024.05.06.020.

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The asset management business is an advanced area of development in the banking and financial business sector. It has a relatively independent and complete asset and liability structure and business modules. Among them, business areas such as asset, liability and risk management are natural application scenarios. Artificial intelligence technology currently has some practical applications. At the same time, there are problems such as incomplete basic business data, strong organizational structure specifics and lack of technical reserves. As a result, there is currently no application of artificial intelligence technology used for general sorting and structural design of the banking asset management business. Based on this, this article examines the factors influencing the degree of application of artificial intelligence in the business of managing banking assets, and analyzes strategies for using artificial intelligence in the business of managing banking assets.

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14

Ben Said, Houda, and Zouari-Hadiji Rim. "Tunisian bank asset-liability management: A canonical correlation analysis." Corporate Ownership and Control 15, no. 3-1 (2018): 230–38. http://dx.doi.org/10.22495/cocv15i3c1p7.

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The aim of this paper is to analyze asset-liability management behaviour in Tunisian banks between 2000 and 2014. The liberalization process in the Tunisian economy coupled with global developments exposed banks for various kinds of risks (interest rate risk, liquidity risk, exchange risk, operational risk etc...) which have a direct impact on their profitability and efficiency. Then asset liability management is one of a most important tool for decision making that sets out to maximize stakeholder value and an instrument to measure the sustainability of the financial sector in a country. A sample consisting of public, private, and foreign banks operating in the Tunisian territory was considered and the multivariate statistical technique, canonical correlation analysis has been used to capture the nature and strength of the relationship between the assets and liabilities in these banks. Assets analyzed were subdivided into fixed assets, liquid assets, short-term loans, long-term loans, short-term securities and long-term securities; and liabilities into net worth, borrowings, short-term deposits and long-term deposits. From the analysis, different degrees of the association have been found among various constituents of assets and liabilities and among banks. In most cases, there has been a poor and judicious matching of assets and liabilities in terms of their explicit cost and revenue as well as their maturity and liquidity. It is further observed that most Tunisian banks were asset-managed: these banks were actively managing assets and liabilities and were dependent on how well the assets are managed.

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15

Ma, Hui-qiang, Meng Wu, and Nan-jing Huang. "Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems." Mathematical Problems in Engineering 2013 (2013): 1–16. http://dx.doi.org/10.1155/2013/709129.

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This paper studies the optimal time consistent investment strategies in multiperiod asset-liability management problems under mean-variance criterion. By applying time consistent model of Chen et al. (2013) and employing dynamic programming technique, we derive two-time consistent policies for asset-liability management problems in a market with and without a riskless asset, respectively. We show that the presence of liability does affect the optimal strategy. More specifically, liability leads a parallel shift of optimal time-consistent investment policy. Moreover, for an arbitrarily risk averse investor (under the variance criterion) with liability, the time-diversification effects could be ignored in a market with a riskless asset; however, it should be considered in a market without any riskless asset.

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16

Левицький, Віктор. "FORMATION OF THE ADMINISTRATIVE MANAGEMENT SYSTEM OF ASSETS AND LIABILITIES OF A BANKING INSTITUTION IN THE STRATEGIC ASPECT." Economic journal of Lesya Ukrainka Volyn National University 4, no. 36 (January 7, 2024): 113–19. http://dx.doi.org/10.29038/2786-4618-2023-04-113-119.

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The article examines the essence of the process of managing assets and liabilities of a banking institution. The works of ukrainian and foreign scientists devoted to issues of asset and liability management systems were studied and analyzed. The essence of the concept of the structure of assets and liabilities is determined. The main strategies for managing the bank's assets and liabilities have been identified - the asset management strategy, the liability management strategy, and the combined strategy. The purpose of the article is the formation of the formation of the system of administrative management of assets and liabilities of a banking institution. The main tasks of a comprehensive strategy and its important elements are defined. Two basic groups of asset and liability management methods are highlighted - methods of managing a certain risk and methods of modeling the optimal balance sheet structure. The shortcomings inherent in both groups were analyzed. It is proposed to use, in addition to classic digital methods, tools for influencing the structure of the bank's assets and liabilities. A diagram of the asset and liability management system from a functional point of view has been created. In order to effectively manage a banking institution, it is proposed to include digital tools for influencing the structure of assets and liabilities to the tools of the asset and liability management system in order to obtain maximum profit while maintaining reliability. For the formation of the MAL system, it is proposed to implement the following digital elements: implementation of the biometric system of online banking; integration with the Diya platform; distribution and promotion of the use of Visa pay-Wave cards; expansion and adaptation of POS lending (including biometric identification of the recipient) using POS terminals; expansion of online banking functionality. Their influence on the three main factors determining the degree of profit of a banking institution is determined. In the course of the analytical work, it was found that an important tool in the asset and liability management strategy is bank digitalization. Using digital technologies, banking institutions have the opportunity to reach a completely new level, providing innovative services and services to clients. Despite the fact that these directions have received active development in recent years, their potential has not yet been exhausted. The impact of digitalization provides significant benefits to banks and improves their attractiveness. This, in turn, provides stability to the banking institution and the ability to quickly adapt to unpredictable changes in the market. Thus, using digital tools as part of the formation of the asset and liability management system, it is possible to directly influence their structure and attract a larger number of customers, which directly affects the bank's profitability.

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17

Weinberger, Alfred. "Strategies for Effective Asset/Liability Management." ICFA Continuing Education Series 1986, no. 2 (January 1986): 26–41. http://dx.doi.org/10.2469/cp.v1986.n2.5.

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18

Sackley, William H. "Hedge Funds in Asset/Liability Management." CFA Digest 37, no. 4 (November 2007): 105. http://dx.doi.org/10.2469/dig.v37.n4.4898.

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19

Sackley, William H. "Asset Liability Management in Financial Planning." CFA Digest 39, no. 1 (February 2009): 83–85. http://dx.doi.org/10.2469/dig.v39.n1.46.

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20

Höcht, Stephan, Ng Kah Hwa, Christoph G. Rösch, and Rudi Zagst. "Asset Liability Management in Financial Planning." Journal of Wealth Management 11, no. 2 (July 31, 2008): 29–46. http://dx.doi.org/10.3905/jwm.11.2.29.

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21

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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22

Vivian, Ben. "ENVIRONMENTAL MANAGEMENT SYSTEMS: ASSET OR LIABILITY?" Eco-Management and Auditing 4, no. 1 (March 1997): 32–34. http://dx.doi.org/10.1002/(sici)1099-0925(199703)4:1<32::aid-ema60>3.0.co;2-k.

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23

Jr, John S. Jahera. "Bank Asset-Liability Management Theory Revisited." Journal of Banking and Finance Management 1, no. 1 (2018): 39–47. http://dx.doi.org/10.22259/2642-9144.0101003.

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24

Luković, Stevan, and Aleksandra Fedajev. "The implementation of Asset-liability management in pension funds." Ekonomski signali 14, no. 1 (2019): 23–37. http://dx.doi.org/10.5937/ekonsig1901023l.

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25

Zhang, Ling. "Continuous-Time Mean-Variance Asset-Liability Management with Hidden Markovian Regime Switching." Mathematical Problems in Engineering 2014 (2014): 1–9. http://dx.doi.org/10.1155/2014/140140.

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This paper considers a continuous-time mean-variance asset-liability management problem with incompletely observable information. An investor can only observe the prices of the asset and liability and the dynamics of the unobservable states of the underlying financial market is described by a hidden Markovian chain. The price of the risky asset is assumed to be governed by a hidden Markovian regime switching geometric Brownian motion and the liability is assumed to follow a hidden Markovian regime switching Brownian motion with drift, respectively. The appreciation rates of the risky asset and the liability are modulated by the hidden Markovian chain. By using the separation principle, the filtering-estimation problem and the mean-variance asset-liability management problem are discussed. The explicit expressions for the optimal asset-liability management strategy and the mean-variance efficient frontier are determined by using the stochastic maximum principle.

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26

Ait Malhou, Fatima, and Ahmed Maimoun. "Theoretical analysis on Asset-Liability Management of liquidity risk: the case of Islamic banks." SHS Web of Conferences 119 (2021): 01003. http://dx.doi.org/10.1051/shsconf/202111901003.

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The main objective of this research is to identify and review all the studies conducted to investigate the relationship between liquidity risk and Asset-Liability Management in Islamic banks. This systematic review was conducted using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses guidelines (PRISMA Statement ®). During the past two decades, a limited amount of literature has been published on Asset-Liability Management in Islamic banks. In fact, from the 1886 articles collected, only 25 studies were included, 8 of them are considered the most relevant ones. It is important to note that most of the selected articles pointed out the importance of practical asset-liability management approaches and techniques used to mitigate liquidity risk. This study gives an overview of the Asset-liability management in Islamic banks considered as an under-researched topic. It identifies the problems, the challenges and the practical approaches adopted by bankers in managing liquidity risk through assets and liabilities. It therefore shows the need for more empirical studies to ensure better conditions and framework for the Islamic financial industry. This is the first review to investigate the previous studies on the Asset-Liability Management of liquidity risk in Islamic banks. The main limitation could be related to some potential relevant works that have not been included in this study. This is due the limited number of databases that the authors had access to.

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27

Li, Shuang, Yu Yang, Yanli Zhou, Yonghong Wu, and Xiangyu Ge. "The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market." Journal of Function Spaces 2021 (November 20, 2021): 1–15. http://dx.doi.org/10.1155/2021/5476781.

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How do investors require a distribution of the wealth among multiple risky assets while facing the risk of the uncontrollable payment for random liabilities? To cope with this problem, firstly, this paper explores the approach of asset-liability management under the state-dependent risk aversion with only risky assets, which has been considered under a continuous-time Markov regime-switching setting. Next, based on this realistic modelling, an extended Hamilton-Jacob-Bellman (HJB) system has been necessarily established for solving the optimization problem of asset-liability management. It has been derived closed-form analytical expressions applied in the time-inconsistent investment with optimal control theory to see that happens to the optimal value of the function. Ultimately, numerical examples presented with comparisons of the analytical results under different market conditions are exposed to analyse numerically the developed mean variance asset liability management strategy. We find that our proposed model can explain the financial phenomena more effectively and accurately.

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28

Choirunnisak, Choirunnisak. "Application of the Concept of Asset and Liability Management (ALMA) in the Islamic Banking System." Islamic Banking : Jurnal Pemikiran dan Pengembangan Perbankan Syariah 7, no. 2 (February 25, 2022): 333–50. http://dx.doi.org/10.36908/isbank.v7i2.337.

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This study discusses the application of the concept of asset and liability management (ALMA) in the banking system. The method used in this research is library research with a qualitative approach, where the data are obtained from books, journals, articles and the like that discuss the theme. After that, it was validated, and analyzed descriptively. The results of this study are: Application of Asset and Liability Management in banking institutions, both Islamic banks and conventional banks must go through an assessment of the budget, make income plans, evaluate investment performance in the past, unify the distribution of bank assets and liabilities and implement asset and financial strategies obligation

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29

Maris, Brian A. "Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management." CFA Digest 37, no. 1 (February 2007): 24–26. http://dx.doi.org/10.2469/dig.v37.n1.4486.

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30

Goltz, Felix, Lionel Martellini, and Volker Ziemann. "Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management." Journal of Fixed Income 16, no. 1 (June 30, 2006): 39–54. http://dx.doi.org/10.3905/jfi.2006.640276.

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31

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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32

Mitra, Gautam, and Elena Medova. "Asset and liability management/liability-driven investment for pension funds." Journal of Asset Management 11, no. 2-3 (June 2010): 71–72. http://dx.doi.org/10.1057/jam.2010.14.

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33

Bayliss, Christopher, Marti Serra, Armando Nieto, and Angel A. Juan. "Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities." Risks 8, no. 4 (December 4, 2020): 131. http://dx.doi.org/10.3390/risks8040131.

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Specially in the case of scenarios under uncertainty, the efficient management of risk when matching assets and liabilities is a relevant issue for most insurance companies. This paper considers such a scenario, where different assets can be aggregated to better match a liability (or the other way around), and the goal is to find the asset-liability assignments that maximises the overall benefit over a time horizon. To solve this stochastic optimisation problem, a simulation-optimisation methodology is proposed. We use integer programming to generate efficient asset-to-liability assignments, and Monte-Carlo simulation is employed to estimate the risk of failing to pay due liabilities. The simulation results allow us to set a safety margin parameter for the integer program, which encourage the generation of solutions satisfying a minimum reliability threshold. A series of computational experiments contribute to illustrate the proposed methodology and its utility in practical risk management.

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34

Chatterjee, Chanchal, and Paromita Dutta. "Exploring the Linkage between Profits and Asset–Liability Management." Paradigm 20, no. 2 (December 2016): 131–42. http://dx.doi.org/10.1177/0971890716670707.

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The article uses panel data regression on a sample of 26 public sector and 20 private sector banks operating in India over the period 2004–2005 to 2012–2013 in order to empirically examine the relationship between profits and asset–liability (A–L) composition of Indian banks. The sample was initially split into public sector and private sector banks. Earning before tax (EBT) of public sector banks appear to be generated by all the assets under the asset portfolio while, in private sector banks, the EBT seems to be produced by loans and advances and deposits and placings to banks. From liabilities’ perspective, the ‘short-term funding’ appears to be the cheapest for both the bank groups. The sample was then split into high-profit and low-profit banks. The results show that, compared to the high-profit banks, low-profit banks experience higher rate of return on loans and advances, investments and fixed assets. The study does not find that high-profit banks always enjoy relatively cheaper cost of funding than low-profit banks.

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35

Mulvey, John M. "An Asset-Liability Investment System." Interfaces 24, no. 3 (June 1994): 22–33. http://dx.doi.org/10.1287/inte.24.3.22.

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36

Al-Ghifari, Abu Dzar, and Pani Akhiruddin Siregar. "Analisis Penerapan Konsep Asset And Libality Management dengan Sistem Perbankan Syariah di Indonesia." VISA: Journal of Vision and Ideas 3, no. 3 (December 7, 2023): 1064–72. http://dx.doi.org/10.47467/visa.v3i3.5496.

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In banking operations, Asset Liability Management (ALMA) is the main focus in managing commercial banks. As a tool for analyzing and managing banking operations, it is something that is paid attention to by banking practitioners and academics. This research uses a type of library research. Bibliography research is research carried out using a bibliography in the form of books, memos and information from previous research. On the other hand, the method used is storytelling and analysis. This research results that the application of Asset and Liability Management in Islamic Banking is implemented in a special unit called ALCO (Asset and Liability Management Committee). This committee is responsible for planning, organizing and supervising Islamic bank investments. Keywords: Asset Liability Management, Sharia Banking, Systems and Concept

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37

Shukurov, Gofurjon, Zafar Berdinazarov, and Erkin Nigmanov. "CASHFLOWS ABSTRACTION: MANAGEMENT FROM LIABILITY TO ASSET." JOURNAL OF SCIENCE AND INNOVATIVE DEVELOPMENT 10, no. 6 (December 12, 2019): 6–15. http://dx.doi.org/10.36522/2181-9637-2019-6-1.

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38

Achenbach, L. John. "Problems and Pitfalls of Asset/Liability Management." ICFA Continuing Education Series 1986, no. 2 (January 1986): 65–68. http://dx.doi.org/10.2469/cp.v1986.n2.10.

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39

Lennon, Terence I. "A Regulatory Perspective of Asset/Liability Management." ICFA Continuing Education Series 1986, no. 2 (January 1986): 42–45. http://dx.doi.org/10.2469/cp.v1986.n2.6.

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40

diBartolomeo, Dan. "Asset/Liability Management for the Private Client." CFA Institute Conference Proceedings Quarterly 28, no. 1 (March 2011): 42–48. http://dx.doi.org/10.2469/cp.v28.n1.2.

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41

Lubinska, Beata. "CONTEMPORARY CHALLENGES IN THE ASSET LIABILITY MANAGEMENT." PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU, no. 519 (2018): 135–45. http://dx.doi.org/10.15611/pn.2018.519.11.

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42

Esty, Ben, Peter Tufano, and Jonathan Headley. "BANC ONE CORPORATION: ASSET AND LIABILITY MANAGEMENT." Journal of Applied Corporate Finance 7, no. 3 (September 1994): 33–52. http://dx.doi.org/10.1111/j.1745-6622.1994.tb00416.x.

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43

Smink, M., and R. A. H. Van Der Meer. "De historische ontwikkeling van Asset Liability Management." Maandblad Voor Accountancy en Bedrijfseconomie 72, no. 4 (April 1, 1998): 200–208. http://dx.doi.org/10.5117/mab.72.16251.

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44

Kusy, M. I., and W. T. Ziemba. "A Bank Asset and Liability Management Model." Operations Research 34, no. 3 (June 1986): 356–76. http://dx.doi.org/10.1287/opre.34.3.356.

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45

Gondzio, Jacek, and Roy Kouwenberg. "High-Performance Computing for Asset-Liability Management." Operations Research 49, no. 6 (December 2001): 879–91. http://dx.doi.org/10.1287/opre.49.6.879.10015.

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46

Aguirre Nolsøe, Kim, Dieter Degrijse, Sofie Ahm, Kristoffer Brix, Mads Storgaard, and Jesper Strodl. "Cash flow techniques for asset liability management." Scandinavian Actuarial Journal 2020, no. 3 (August 31, 2019): 196–217. http://dx.doi.org/10.1080/03461238.2019.1657936.

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47

Tektas, Arzu, E. Nur Ozkan‐Gunay, and Gokhan Gunay. "Asset and liability management in financial crisis." Journal of Risk Finance 6, no. 2 (April 2005): 135–49. http://dx.doi.org/10.1108/15265940510585806.

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48

Ogˇuzsoy, Cemal Berk, and Sibel Gu¨ven. "Bank asset and liability management under uncertainty." European Journal of Operational Research 102, no. 3 (November 1997): 575–600. http://dx.doi.org/10.1016/s0377-2217(96)00241-x.

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49

Rodriguez Gonzalez, Miguel, Frederik Kunze, Christoph Schwarzbach, and Christoph Dieng. "Asset liability management and the euro crisis." Journal of Risk Finance 18, no. 4 (August 21, 2017): 466–83. http://dx.doi.org/10.1108/jrf-01-2017-0016.

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Abstract:

Purpose This paper aims to investigate the long-term relationships of long-term European Monetary Union (EMU) government bond yields. From an asset managers’ or risk managers’ perspective during the euro crisis, the relevance of sovereign credit and redenomination risk became a major issue. Furthermore, it has to be differentiated between core and non-core EMU member countries. Design/methodology/approach Methods of applied time series analysis are used to investigate EMU government bond yields and EMU government bond yield spreads for Spain, Italy, The Netherlands, Austria and Germany. Both standard unit root testing procedures and breakpoint unit root tests are used to examine cointegrating relationships and structural changes in these relationships. Findings The empirical results deliver clear evidence for structural shifts in the long-term relationship between German and the two non-core EMU countries (Italy and Spain). The timing of the breaks coincides with the timing of the euro crisis. On the contrary, the results for Austria and The Netherlands are different from the findings for the two non-core countries. Research limitations/implications One major limitation of the study is the limited availability of data regarding to the reaction of asset managers or risk managers to the euro crisis. Especially in the context of the discussion with regard to the relevant risk-free rate for investors, this strand of research is relatively new. Practical implications A deeper understanding of changes in the long-term relationship between government bond yields and the re-emergence of redenomination risk is important for asset managers and risk managers in the financial services industry. This is especially true for German life insurers. Originality/value The study provides various empirical contributions to the literature on the euro crisis and sovereign credit risk. First, previous results with regard to the structural changes in the long-term relationship between German and Spanish, German and Italian, German and Austrian as well as Germany and Dutch government bond yields are confirmed using unit root breakpoint tests. Second, investigating the autoregressive coefficient and the timing of the breaks delivers evidence that non-core countries have been more exposed to the fear of redenomination risk. Third, we raise the question which risk free interest rate is relevant for the affected countries.

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Consigli, G., G. Iaquinta, V. Moriggia, M. di Tria, and D. Musitelli. "Retirement planning in individual asset-liability management." IMA Journal of Management Mathematics 23, no. 4 (September 17, 2012): 365–96. http://dx.doi.org/10.1093/imaman/dps019.

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