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Dissertations / Theses on the topic 'Model of asset and liability management'

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Published: 28 May 2022
Last updated: 30 July 2025

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1

Pappas, George S. "An asset and liability management model incorporating uncertainty." Thesis, Brunel University, 2001. http://bura.brunel.ac.uk/handle/2438/7292.

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Asset and Liability Management (ALIvI) is a well-established method, which enables companies to match future liabilities with future cash flow streams of assets. The first stage is to develop a deterministic model with forecast cash flow streams. In reality this can lead to results that are often volatile to deviations of future cash flows from their predicted values. There are two main stages to this problem. Firstly, there is the issue of representing the future uncertainties. To this end we have developed a scenario generator that forecasts alternative realizations of future cash flows stre
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2

Chen, Ping, and 陈平. "Asset-liability management under regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B43223928.

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3

Chen, Ping. "Asset-liability management under regime-switching models." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B43223928.

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4

Kennedy, David Alan. "The ideal asset/liability model for credit unions (with assets between $100 - $500 million)." CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2699.

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This project focused on developing the ideal Asset / Liability Model for credit unions with assets between one hundred million and five hundred million dollars. Ideally the model should be closely aligned with that of a successful credit union at the high end of this range. SELCO Community Credit Union of Eugene Oregon was used in creating the model.
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5

CANNAS, GIUSEPPINA. "A quantitative model for the asset liability management of a Pension Fund." Doctoral thesis, Università degli Studi di Cagliari, 2011. http://hdl.handle.net/11584/265933.

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The key objective of pension plans is the delivery of retirement benefits, typically payable for life or a set period of time, to the specified group of recipients. The management of such funds entails therefore a constant monitoring of the risks exposure and a regular rebalancing of assets. This thesis is directly related to these topics and proposes a quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic intr
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6

Hambouri, Zaphiro. "Risk and asset/liability management of fixed income portfolios." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312022.

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7

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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8

Dondi, Gabriel Arnon. "Models and dynamic optimisation for the asset and liability management of pension funds." Zürich : Measurement and Control Laboratory, ETH Zentrum ML, 2005. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=16257&part=abstracts.

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9

Sheikh, Hussin Siti Aida. "Employees Provident Fund (EPF) Malaysia : generic models for asset and liability management under uncertainty." Thesis, Brunel University, 2012. http://bura.brunel.ac.uk/handle/2438/7505.

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We describe Employees Provident Funds (EPF) Malaysia. We explain about Defined Contribution and Defined Benefit Pension Funds and examine their similarities and differences. We also briefly discuss and compare EPF schemes in four Commonwealth countries. A family of Stochastic Programming Models is developed for the Employees Provident Fund Malaysia. This is a family of ex-ante decision models whose main aim is to manage, that is, balance assets and liabilities. The decision models comprise Expected Value Linear Programming, Two Stage Stochastic Programming with recourse, Chance Constrained Pro
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10

Nyström, Erika, and Viktoria Wirell. "Ett generationsneutralt avkastningsmål : Asset Liability Management analys för buffertfonderna i det svenska pensionssystemet." Thesis, Linköpings universitet, Produktionsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-132592.

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Syftet med detta arbete var att fastställa det avkastningsmål som buffertfonderna bör ha för att bidra till största möjliga nytta för det svenska pensionssystemet samt att analysera styrkan och känsligheten i systemet. För att besvara syftet genomfördes en Asset Liability Management analys, där risk och avkastning optimerades samtidigt som hänsyn togs till pensionssystemets skulder och rättvisa mellan generationer. Ett nyckeltal definierades för att ta hänsyn till generationsneutralitet. Nyckeltalet visar hur mycket en generation procentuellt sett får ut i pension relativt vad de har betalat i
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11

Garaba, Masimba. "The current role of modern portfolio theory in asset management practice in South Africa." Thesis, Rhodes University, 2005. http://hdl.handle.net/10962/d1002699.

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This research examines the role that modern portfolio theory (MPT) plays in current South Africa asset management practice in comparison to other portfolio management techniques and security evaluation methods. The purpose of asset management is to pool complementary financial market expertise, in order to generate returns in excess of the market return on the investments of the owners of financial resources that are entrusted to the firm, since the owners of financial resources might not be able to make superior investment decisions on their own. The research presents and discusses the litera
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12

Lemoine, Killian. "Essays on strategic asset allocation and risk management of pension funds." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090063.

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Depuis une dizaine d'années, une part croissante de fonds de pension rencontrent des difficultés financières. Cette détérioration a soulevé des questions sur la gestion de ces institutions et sur l'efficacité du cadre réglementaires. Cette thèse a pour objet d'analyser les comportements financiers et la gestion des risques opérés par les fonds de pension à prestation définies et les institutions assimilées. En premier lieu, nous relions les choix d'investissement à la question du contrôle managériale. Notre analyse suggère que la bonne gestion des fonds de pension nécessite un partage optimal
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13

Carlos, Gustavo Barreto Bernardo. "Asset portfolio of an health insurer : the multicare case." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7686.

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Mestrado em Finanças<br>A Indústria Seguradora tem várias particularidades, mas eventualmente uma das mais importantes é a incerteza relativamente aos cash flows futuros, devido à natureza imprevisível de catástrofes naturais ou doenças, no caso dos seguros de saúde. Todavia, as seguradoras tentam gerir o risco, entre outras formas, utilizando técnicas de Gestão de Activos-Passivos. De qualquer modo, devido à dificuldade em prever com exactidão os passivos futuros, ao alinhar as maturidades de activos e passivos pode criar uma desarticulação entre ambos, caso acontecimentos inesperados ocorram
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14

Chimhini, Joseline. "International portfolio diversification with special reference to emerging markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2001. https://ro.ecu.edu.au/theses/1076.

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This study evaluates the potential benefits that investors obtain from diversifying their portfolios into emerging markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing in these markets using cross section and time series data. An international capital asset pricing model (ICAPM) with time varying moments developed by Harvey (1991) is adopted. The conditional
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15

Мещеряков, А. А. "Теоретико-практичні підходи до оцінки внутрішньої економіки комерційного банку". Thesis, Українська академія банківської справи Національного банку України, 2006. http://essuir.sumdu.edu.ua/handle/123456789/62899.

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Поняття внутрішньої економіки банку є досить новим та несталим у сучасному діловому та науковому вжитку. Частіше можна зустріти такі терміни, як “комерційний розрахунок банку” або “внутрішній господарський розрахунок його підрозділів”. Але комерційний, або господарський розрахунок, є поняттям менш багатобічним та може розглядатися лише як одна із складових внутрішньої економіки.
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16

Corrêa, Raphael Baseggio. "Modelo de simulação de governança de passivo atuarial de um fundo de pensão brasileiro." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2018. http://hdl.handle.net/10183/180828.

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Este trabalho propõe um modelo para a simulação do passivo atuarial de um fundo de pensão brasileiro. As principais fontes de incertezas que influenciam a avaliação do passivo atuarial foram especificadas como variáveis aleatórias e parâmetros do modelo. Diversos cenários são gerados utilizando a técnica de simulação de Monte Carlo e a microssimulação no intuito de determinar o status de cada participante do fundo de pensão modelo para períodos futuros em diferentes nós de uma árvore de cenários. A situação de vida de cada participante, simulada individualmente a cada nó, está condicionada ao
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17

Kälin, Sascha. "Liability-basiertes Asset Management." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05605019001/$FILE/05605019001.pdf.

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18

Li, Yun. "Optimal asset-liability management." Thesis, King's College London (University of London), 2016. https://kclpure.kcl.ac.uk/portal/en/theses/optimal-assetliability-management(a5f7f79c-8c2c-499c-bc23-86e6ad4d609a).html.

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In this thesis, Mean-Variance Asset-Liability management is studied ina multi-period setting. An investor aims at nding an optimal investmentstrategy in order to maximise the mean-variance objective. The prices ofassets and liabilities are formulated as geometric Brownian motions and wefurther extend them to exponential Levy process. By the Bellman principle,the explicit optimal solution is obtained under backward induction.
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19

Hoevenaars, Roy Peter Maria Mathieu. "Strategic asset allocation & asset liability management." [Maastricht] : Maastricht : Universiteit Maastricht ; University Library, Universiteit Maastricht [host], 2008. http://arno.unimaas.nl/show.cgi?fid=9679.

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20

Eglin, Oliver. "Asset and Liability Management Methodenvergleich /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03604410001/$FILE/03604410001.pdf.

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21

Maneth, Matthias F. F. "Solvenzsicherung und Asset-, Liability-Management /." Karlsruhe : VVW, 1996. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=007080358&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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22

Gabriel, Liane Costa. "Pension funds : asset liability management." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16385.

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Mestrado em Finanças<br>O nível de financiamento e o risco de insolvência dos fundos de pensão são temas cada vez mais relevantes devido às dificuldades sentidas nos últimos anos resultantes das mudanças demográficas, como o envelhecimento da população e o aumento da longevidade, e da crise financeira de 2008, a Grande Recessão. Uma forma de otimizar os ativos e os passivos e ao mesmo tempo gerir os riscos de um fundo é usando modelos de gestão de ativos-passivos. A escolha do modelo de otimização deve ter em conta as características específicas e o objetivo risco-retorno do fundo. Esta tese é
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23

Kurtbegu, Enareta. "Asset-Liability Management in Pension Financing." Thesis, Université Paris-Saclay (ComUE), 2015. http://www.theses.fr/2015SACLE005.

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Malgré les évolutions significatives des systèmes de retraite, notamment le passage de systèmes par répartition à des systèmes par capitalisation, plusieurs problèmes subsistent. La structure démographique est un des principaux facteurs de risque systémique, menaçant l’équilibre des caisses de retraite et favorisant l’instabilité et les moindres performances économiques. Dans cette thèse, nous mobilisons l’analyse empirique et théorique afin d’apporter une réponse en termes de stratégie d’investissement à ce problème. Nous synthétisons tout d’abord les éléments de littérature existants et mett
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24

Carvalho, Tiago Lima de. "Asset-liability management in pension funds." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21054.

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Mestrado em Mathematical Finance<br>Os fundos de pensão têm uma participação representativa nos mercados financeiros, seja considerando o capital investido ou o perfil de escolha de ativos. Nos planos de pensão de benefício definido, o foco é assegurar cobrir os passivos com os ativos existentes. A gestão de ativos e passivos (em inglês ALM) é o conjunto de métodos e ferramentas projetadas com a finalidade de orientar como os fundos devem investir seus ativos a fim de que, em determinada data, seja possível pagar seus passivos. Este conceito é amplamente utilizado em empresas seguradoras e fu
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25

Gip, Orreborn Jakob. "Asset-Liability Management with in Life Insurance." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-215339.

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In recent years, new regulations and stronger competition have further increased the importance of stochastic asset-liability management (ALM) models for life insurance firms. However, the often complex nature of life insurance contracts makes modeling to a challenging task, and insurance firms often struggle with models quickly becoming too complicated and inefficient. There is therefore an interest in investigating if, in fact, certain traits of financial ratios could be exposed through a more efficient model. In this thesis, a discrete time stochastic model framework, for the simulation of
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26

Schmautz, Matthias. "Asset-Liability-Management und Eigentümerorientierung bei Schadenversicherungsunternehmen." Frankfurt, M. Berlin Bern Bruxelles New York, NY Oxford Wien Lang, 2007. http://d-nb.info/98727290X/04.

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27

Animante, David. "Macroeconomic volatility and sovereign asset-liability management." Thesis, Imperial College London, 2013. http://hdl.handle.net/10044/1/24133.

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For most developing countries, the predominant source of sovereign wealth is commodity related export income. However, over-reliance on commodity related income exposes countries to significant terms of trade shocks due to excessive price volatility. The spillovers are pro-cyclical fiscal policies and macroeconomic volatility problems that if not adequately managed, could have catastrophic economic consequences including sovereign bankruptcy. The aim of this study is to explore new ways of solving the problem in an asset-liability management framework for an exporting country like Ghana. First
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28

Mwakisisile, Andongwisye John. "Asset Liability Management for Tanzania Pension Funds." Licentiate thesis, Linköpings universitet, Optimeringslära, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-147853.

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This thesis presents a long-term asset liability management for Tanzania pension funds. As an application, the largest pension fund in Tanzania is considered. This is a pay-as-you-go pension fund where the contributions are used to pay current benefits. The Pension plan analyzed is a final salary defined benefit. Two kinds of pension benefit are considered, a commuted (at retirement) and a monthly (old age) pension. A decision factor in the analysis is the increased life expectancy of the members of the pension fund. The presentation is divided into two parts. First is a long-term projection of th
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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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30

Finkelstein, Gary Steele. "A stochastic asset-liability model using stable distributions." Master's thesis, University of Cape Town, 1997. http://hdl.handle.net/11427/21338.

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Bibliography: pages 100-108.<br>The salient feature under examination in this thesis is the assumption that the error terms, ZD(t) and Zy(t), are normally distributed. This assumption is common to most of the stochastic asset models that are in widespread use within the actuarial profession. An example is the well known Wilkie model (Wilkie (1984, 1995)).
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31

Christofides, Elina. "Dynamic programming for asset, liability and risk management." Thesis, Imperial College London, 2004. http://hdl.handle.net/10044/1/8371.

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32

Tam, Pui Neng. "Asset and liability management of commercial banks in Macau." Thesis, University of Macau, 1997. http://umaclib3.umac.mo/record=b1636255.

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33

Yan, Jingsi. "Asset liability management throughout macroeconomic cycle in financial institutions." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/80669.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2013.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 40).<br>In this thesis, we are going to study asset liability management throughout the macroeconomic cycle in financial institutions. There are two important problems in financial institutions. The first is that asset and liability management has significant effects on the financial institution's value. The second is that in different stages of the macroeconomic cycle, the effect of asset and liability management approaches
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34

Blome, Sandra. "Asset Liability Management in der betrieblichen Altersversorgung : die Direktzusage /." [S.l. : s.n.], 2004. http://www.gbv.de/dms/zbw/488884241.pdf.

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35

Zhang, Yan. "Optimal asset liability management with constraints: theory and application." Thesis, Curtin University, 2015. http://hdl.handle.net/20.500.11937/192.

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In this thesis, we study the mean-variance asset liability management with constraints, taking into account jump in the price of the risky asset and state-dependent risk aversion. In addition, we numerically investigate the effect of liability, market fluctuation, multiple risky assets and some key model parameters on the optimal investment strategy, the efficient frontier and the optimal value function based on the theoretical results obtained in this research work.
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36

Belouafi, Ahmed. "Asset and liability management of an interest free Islamic bank." Thesis, University of Sheffield, 1993. http://etheses.whiterose.ac.uk/4221/.

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The last two decades or so have witnessed the emergence of a new type of financial intermediaries. That is the establishment of interest free Islamic financial institutions (IFIs). As a result the literature that deals with aspects related to these institutions has grown rapidly. Three main areas have received considerable attention from economists, bankers, jurists of Islamic Jurisprudence and other academics. These are descriptive analysis of how such a system operates, theoretical framework of such a system utilizing modern tools of economic analysis and empirical studies of evaluating cert
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Oliveira, Alan Delgado de. "Essays on Multistage Stochastic Programming applied to Asset Liability Management." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2018. http://hdl.handle.net/10183/179270.

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A incerteza é um elemento fundamental da realidade. Então, torna-se natural a busca por métodos que nos permitam representar o desconhecido em termos matemáticos. Esses problemas originam uma grande classe de programas probabilísticos reconhecidos como modelos de programação estocástica. Eles são mais realísticos que os modelos determinísticos, e tem por objetivo incorporar a incerteza em suas definições. Essa tese aborda os problemas probabilísticos da classe de problemas de multi-estágio com incerteza e com restrições probabilísticas e com restrições probabilísticas conjuntas. Inicialmente,
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38

Horn, Oliver. "Asset-Liability-Management in der Lebensversicherung unter besonderer Berücksichtigung pfadabhängiger Managementregeln /." Ulm : IFA, 2008. http://www.gbv.de/dms/zbw/559584555.pdf.

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39

Rietbergen, Muriel Isolde. "Long-term asset and liability management for minimum guaranteed return funds." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613768.

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40

Déry, David. "Software asset management processes and model." Mémoire, École de technologie supérieure, 2008. http://espace.etsmtl.ca/98/1/D%C3%89RY_David.pdf.

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L'Industrie doit maintenant porter attention a la gestion de ses biens de logiciel et a leurs licences: en effet. au fil des ans, les organisations ont achete une quantite importante de logiciels et elles doivent maintenant gerer les couts qui y sont associes tout en s'assurant que les termes et condifions des licences soient respectes. Jusqu'a maintenant, I'industrie avail offert des solutions partielles a la gestion des biens de logiciel, et ce en utilisant des approches differentes, des terminologies differentes et des oufils avec une couverture disparate de foncfions. L'industrie s'a
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Déry, David. "Software asset management processes and model /." Thèse, Montréal : École de technologie supérieure, 2008. http://proquest.umi.com/pqdweb?did=1467898581&sid=5&Fmt=2&clientId=46962&RQT=309&VName=PQD.

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Thèse (Ph.D.) -- École de technologie supérieure, Montréal, 2008.<br>"Thesis presented to l'École de technologie supérieure in partial fulfillment of the requirements for the degree of doctor of philosophy." CaQMUQET Bibliogr. : f.[213]-219. Également disponible en version électronique. CaQMUQET
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Zhao, Lei. "An asset management system for small transportation agencies /." free to MU campus, to others for purchase, 2004. http://wwwlib.umi.com/cr/mo/fullcit?p1422979.

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43

Jooste, J. L. (Johannes Lodewikus). "A performance management model for physical asset management." Thesis, Stellenbosch : Stellenbosch University, 2003. http://hdl.handle.net/10019.1/53286.

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Thesis (MScEng)--University of Stellenbosch, 2003.<br>ENGLISH ABSTRACT: Two fundamental aspects in modem business success are performance management and physical asset management. The current problem in the asset management environment is the lack of structured performance management, which is required to effectively control and enhance the dynamics of the asset and its life cycle. The result is ineffective assets with high life cycle costs, which will consequently influence the bottom line and return on investment, negatively. An Asset _eerformance Management Model (APM2 , pronounced
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Beijbom, Filip, and Adam Fröman. "Asset Liability Management: Ur privatpersonens perspektiv : Ta kontroll över din ekonomiska framtid." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138801.

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BAKGRUND: Samtidigt som företag och finansiella institutioner idag har utvecklat avancerade Asset Liability Management-verktyg för att proaktivt hantera sina risker och planera framtida kassaflöden, så baseras dagens privatekonomiska rådgivning fortfarande på traditionella tillgångsallokeringsstrategier och enkla tumregler. Tidigare forskning menar på att liknande ALM-verktyg skulle kunna generera mervärde även för privatpersoner om de implementerades i praktiken, men vad de privata spararna själv tycker i frågan är hitintills outforskat. Trots detta kvarstår faktum att endast om privatpersone
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HOSSEINZADEH, Mohammad Mehdi. "Optimal Asset-Liability Management for Defned Beneft Pension Fund Under Stochastic Correlation." Doctoral thesis, Università degli studi di Bergamo, 2017. http://hdl.handle.net/10446/89513.

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We consider a second pillar pension fund problem relying on a multi-stage stochastic asset-liability management (ALM) model which is specified with an asset universe including money-market, fixed-income, inflation-linked bond as well as equity and commodity. The current value of liability is determined under the assumptions of constant pension fund future pension payments and their current market value (current fund obligation) under assumption of constant pension fund population by discounting all future pension payments. Pension payments are random and determined by the evolution of the popu
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Zhang, Kun. "Essays on bubbles and crashes in experimental asset markets." Thesis, University of Aberdeen, 2015. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=230172.

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The recent financial crisis highlights the importance of understanding factors that affect financial market price efficiency. Experimental methods allow us to control the intrinsic value of an asset, thus become an attractive technique for studying asset market price efficiency. This dissertation consist three essays, all of which devoted to experimental asset markets. The first essay explores the role of liquidity on the mispricing of an asset. This issue has been the subject of Kirchler et al. (2012) AER paper. By re-analysing the evidence in that article, the first essay concluded that thei
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Pedron, Nieves Hicks. "Model-based asset management : a comparative study." Thesis, University of Cambridge, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.299230.

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Matter, Sandro. "Asset & Liability Management (ALM) bei Schweizer Retailbanken Faktoren für eine erfolgreiche Umsetzung /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01652361002/$FILE/01652361002.pdf.

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Wilkerson, Nicole A. (Nicole Andrea). "Strategies to hedge the unique asset/liability GAP inherent to black-owned banks." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/70694.

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Mathew, Avin D. "Asset management data warehouse data modelling." Thesis, Queensland University of Technology, 2008. https://eprints.qut.edu.au/19310/1/Avin_Mathew_Thesis.pdf.

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Abstract:
Data are the lifeblood of an organisation, being employed by virtually all business functions within a firm. Data management, therefore, is a critical process in prolonging the life of a company and determining the success of each of an organisation’s business functions. The last decade and a half has seen data warehousing rising in priority within corporate data management as it provides an effective supporting platform for decision support tools. A cross-sectional survey conducted by this research showed that data warehousing is starting to be used within organisations for their engineering
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