Relevant bibliographies by topics / Large Homogeneous Portfolio

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Academic literature on the topic 'Large Homogeneous Portfolio'

Author: Grafiati
Published: 4 June 2021
Last updated: 11 February 2022

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Journal articles on the topic "Large Homogeneous Portfolio"

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Djehiche, Boualem, and Björn Löfdahl. "Aggregation of 1-year risks in life and disability insurance." Annals of Actuarial Science 10, no. 2 (2016): 203–21. http://dx.doi.org/10.1017/s1748499516000051.

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AbstractWe consider large insurance portfolios consisting of life or disability insurance policies that are assumed independent, conditional on a stochastic process representing the economic–demographic environment. Using the conditional law of large numbers, we show that when the portfolio of liabilities becomes large enough, its value on a δ-year horizon can be approximated by a functional of the environment process. Based on this representation, we derive a semi-analytical approximation of the systematic risk quantiles of the future liability value for a homogeneous portfolio when the envir
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DORFLEITNER, GREGOR, and TAMARA PFISTER. "JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS." International Journal of Theoretical and Applied Finance 17, no. 06 (2014): 1450039. http://dx.doi.org/10.1142/s0219024914500393.

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Risk capital allocation is based on the assumption that the risk of a homogeneous portfolio is scaled up and down with the portfolio size. In this article we show that this assumption is true for large portfolios, but has to be revised for small ones. On basis of numerical examples we calculate the minimum portfolio size that is necessary to limit the error of gradient risk capital allocation and the resulting error in a portfolio optimization algorithm or pricing strategy. We show the dependency of this minimum portfolio size on different parameters like the probability of default and on the
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Schloegl, Lutz, and Dominic O’Kane. "A note on the large homogeneous portfolio approximation with the Student-t copula." Finance and Stochastics 9, no. 4 (2005): 577–84. http://dx.doi.org/10.1007/s00780-004-0142-7.

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MAI, JAN-FREDERIK, and MATTHIAS SCHERER. "A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE." International Journal of Theoretical and Applied Finance 12, no. 02 (2009): 227–49. http://dx.doi.org/10.1142/s0219024909005208.

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A stochastic time-change is applied to introduce dependence to a portfolio of credit-risky assets whose default times are modeled as random variables with arbitrary distribution. The dependence structure of the vector of default times is completely separated from its marginal default probabilities, making the model analytically tractable. This separation is achieved by restricting the time-change to suitable Lévy subordinators which preserve the marginal distributions. Jump times of the Lévy subordinator are interpreted as times of excess default clustering. Relevant for practical implementati
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W. Secrest, Thomas. "Asset portfolio maturity changes during the financial crisis: evidence from U.S. banks." Banks and Bank Systems 15, no. 2 (2020): 28–37. http://dx.doi.org/10.21511/bbs.15(2).2020.03.

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This paper determines if the maturity structure of commercial banks’ asset portfolios changed as a result of the financial crisis of the late 2000s and whether any changes in the portfolios may be homogeneous across bank size. A proxy for the maturity of rate-sensitive assets is constructed, and it is found that significant changes did begin to occur during the third quarter of 2008. The maturity structure of assets of relatively small banks gradually began to increase before leveling off six years later. The maturity of larger bank asset portfolios had been falling and continued to decrease f
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Ho Choe, Geon, and Soon Won Kwon. "The large homogeneous portfolio approximation with a two-factor Gaussian copula and random recovery rate." Journal of Credit Risk 10, no. 3 (2014): 137–58. http://dx.doi.org/10.21314/jcr.2014.181.

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Zhang, Yi, Zhengyan Lin, and Chengguo Weng. "Some limiting properties of the bounds of the present value function of a life insurance portfolio." Journal of Applied Probability 43, no. 04 (2006): 1155–64. http://dx.doi.org/10.1017/s0021900200002497.

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Under certain assumptions on the dependence structure of the residual lives of the insured (i.e. their independence, positive association, or negative association), in this paper we establish some laws of large numbers for the convex upper bounds, derived by the technique of comonotonicity, of the present value function of a homogeneous portfolio composed of the whole-life insurance policies.
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Zhang, Yi, Zhengyan Lin, and Chengguo Weng. "Some limiting properties of the bounds of the present value function of a life insurance portfolio." Journal of Applied Probability 43, no. 4 (2006): 1155–64. http://dx.doi.org/10.1239/jap/1165505214.

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Under certain assumptions on the dependence structure of the residual lives of the insured (i.e. their independence, positive association, or negative association), in this paper we establish some laws of large numbers for the convex upper bounds, derived by the technique of comonotonicity, of the present value function of a homogeneous portfolio composed of the whole-life insurance policies.
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KIM, SUNG IK, and YOUNG SHIN KIM. "FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK." International Journal of Theoretical and Applied Finance 24, no. 04 (2021): 2150021. http://dx.doi.org/10.1142/s0219024921500217.

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A critical aspect in the valuation and risk management of multi-name credit derivatives is the modeling of the dependence among sources of credit risk. The dependence modeling poses difficulties in the pricing of a multi-name credit derivatives, in the estimation of the value-at-risk of a portfolio, or in the pricing of some other basket credit derivative as the description not only on the default arrival in an individual reference entity but on the default dependence among entities in the portfolio should be considered. Although the elliptical models have been widely used due to their mathema
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Chen, Die, Tiantian Mao, and Taizhong Hu. "ASYMPTOTIC BEHAVIOR OF EXTREMAL EVENTS FOR AGGREGATE DEPENDENT RANDOM VARIABLES." Probability in the Engineering and Informational Sciences 27, no. 4 (2013): 507–31. http://dx.doi.org/10.1017/s0269964813000235.

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Consider a portfolio of n identically distributed risks X1, …, Xn with dependence structure modelled by an Archimedean survival copula. It is known that the probability of a large aggregate loss of $\sum\nolimits_{i=1}^{n} X_{i}$ is in proportion to the probability of a large individual loss of X1. The proportionality factor depends on the dependence strength and the tail behavior of the individual risk. In this paper, we establish analogous results for an aggregate loss of the form g(X1, …, Xn) under the more general model in which the Xi's have different but tail-equivalent distributions and
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Book chapters on the topic "Large Homogeneous Portfolio"

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Herrera, Andrea, and Olga Lucía Giraldo. "IT Governance State of Art in the Colombian Health Sector Enterprises." In Organizational Integration of Enterprise Systems and Resources. IGI Global, 2012. http://dx.doi.org/10.4018/978-1-4666-1764-3.ch019.

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The Colombian healthcare industry has been growing since the late 90’s and the amount of spending allocated to this sector is the highest proportion of GDP in Latin American countries. Those facts have increased the importance of this sector for the economy and national development. Furthermore, enterprises with IT governance that focus on organizational objectives have yielded superior results than their competitors (Weill & Ross, 2004). The authors performed a research project to find out if there are similarities amongst Colombian Health Sector Enterprises that have obtained positive results. In this project, the authors studied IT governance, operational model, engagement model, and portfolio management of twelve companies, all of them large to medium-sized. The results show that the IT governance behavior of the Colombian healthcare industry is not homogeneous. Different subsectors have different behavior; some perform as large superior global enterprises and others are beginning their journey.
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Journal articles
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