A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper introduces deep learning for ALM, enhancing asset and liability management.
Third part of a study on liquidity risk in asset management, focusing on managing the asset-liability liquidity risk.
This research proposes methods to model and assess liability liquidity risk in asset management.
Proposes a bond portfolio solution for managing interest rate risk.
We numerically study an Asset Liability Management problem linked to the decommissioning of French nuclear power plants. We link the risk aversion of practitioners to an optimization problem. Using different price models we show that the optimal solution is linked to a de-risking management strategy similar to a concav…
In this paper, we consider the asset-liability management under the mean-variance criterion. The financial market consists of a risk-free bond and a stock whose price process is modeled by a geometric Brownian motion. The liability of the investor is uncontrollable and is modeled by another geometric Brownian motion. W…
Paper proposes a RL approach for ALM with superior performance.
This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can significantly outperform common strategies that do not take the li…
Research proposes a model to estimate transaction costs and assess asset liquidity risk.
This paper compares different DRO formulations for pension fund management.
Paper proposes real-time risk metrics for stablecoin protocols.
Adaptive strategies reduce pension fund costs and risks.
Develops a framework for optimal investment in assets with different liquidity constraints.
RL solves discrete LQ control with Gaussian optimal policy.
A framework tackles model uncertainty in ALM, providing robust investment strategies.
Study validates Libor model for insurance benefits calculation.
Paper solves investment and consumption problem with unknown risk, providing explicit solutions.
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending…
The paper solves a complex control problem with stochastic elements and switching conditions.
We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two…
Paper assesses GMMB in VAs using FST for accurate net liability calculations.
Limited liability reduces leveraged risk in loan portfolio management models.
Stochastic model for pension insurer assets and liabilities with mortality risk.
This study compares direct and indirect methods for estimating own funds in life insurance, finding indirect methods more effective under realistic asset-liability coupling.
The study examines how limited liability and haircut affect a bank's loan portfolio's liquidity risk.
Neural networks assess asset-liability risk over time.
Framework for realistic insurance liability valuation.
The study shows that limited liability can make banks more stable by choosing less risky assets.
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the difference between assets and liabilities of the bank. A bank is solvent when its capit…
We extend the Vasiček loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and …
In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, etc. Since the robo-advisory model is in its early stages, we estimate tha…
Optimal control solves multi-period liability clearing problems.
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the expected shortfall with respect to each of the benchmarks weighted by this loss func…
The effect of self-default on the valuation of liabilities and derivatives (DVA) has been widely discussed but the effect on assets has not received similar attention. Any asset whose value depends on the status, or existence, of the firm will have a DVA. We extend (Burgard and Kjaer 2011) to provide a hedging strategy…
A new mathematical framework simplifies securitization structuring.
Financial undertakings often have to deal with liabilities of the form 'non-hedgeable claim size times value of a tradeable asset', e.g. foreign property insurance claims times fx rates. Which strategy to invest in the tradeable asset is risk minimal? We generalize the Gram-Charlier series for the sum of two dependent …
IDA makes DFMM's asset tradeable, enhancing cross-chain finance efficiency.
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constr…
This paper investigates market-consistent valuation of insurance liabilities in the context of, for instance, Solvency II and to some extent IFRS 4. We propose an explicit and consistent framework for the valuation of insurance liabilities which incorporates the Solvency II approach as a special case. The proposed fram…
Paper proposes a natural hedging framework with graphical assessment for longevity risk management.
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing kernel be consistent with a pair of axioms, one giving the inter-temporal relations …
This study examines how risky investments affect insurance capital valuation.
Study optimizes insurance liability cash flows with regulatory capital requirements.
We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the multiperiod integrated chance constraint (MICC). As their names suggest, the OICC …
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replicatio…
To a large extent, the systemic importance of financial institutions is related to the topology of financial liability networks. In this work we reconstruct and analyze the - to our knowledge - largest financial network that has been studied up to now. This financial liability network consists of 51,980 firms and 796 b…
This study identifies financial risk paths in digital-transformed enterprises.