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 study shows that limited liability can make banks more stable by choosing less risky assets.
Limited liability reduces leveraged risk in loan portfolio management models.
The study examines how limited liability and haircut affect a bank's loan portfolio's liquidity risk.
Optimal portfolios for fat-tailed risks using a new tail risk measure.
A new method for clearing liability networks using sheaves on directed hypergraphs.
Study on price formation among investors with exponential utility and liabilities.
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…
This study examines how risky investments affect insurance capital valuation.
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…
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…
Optimal control solves multi-period liability clearing problems.
Study finds environmental liability insurance reduces industrial carbon emissions.
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…
Unified framework for fixed-income pricing and liability replication.
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…
Stochastic model for pension insurer assets and liabilities with mortality risk.
Paper assesses GMMB in VAs using FST for accurate net liability calculations.
Study classifies liability insurance policies using machine learning.
Framework for realistic insurance liability valuation.
This paper compares different DRO formulations for pension fund management.
The paper introduces deep learning for ALM, enhancing asset and liability management.
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in practice central bankers and regulators must often es…
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 …
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 …
This research proposes methods to model and assess liability liquidity risk in asset management.
Neural networks assess asset-liability risk over time.
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability …
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of positive proportional transaction cost in two c…
Study optimizes insurance liability cash flows with regulatory capital requirements.
We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse's pensions. We show how the standard…
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for i…
Study introduces new methods to estimate equity and liability required rates of return.
Developed Merton's model for public companies using observed liabilities.
Mean-field approximations simplify insurance liability calculations.
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…
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…
Proposes a bond portfolio solution for managing interest rate risk.
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory frameworks, the approach presented is based on a hypothetical transfer of the original li…
Optimal wealth strategy derived for jump-diffusion models with liabilities.
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…
New method for insurance valuation combining hedging and risk minimization.
Study optimal strategies for insurer's dividends, investments, and liabilities.
Paper proposes a RL approach for ALM with superior performance.
Third part of a study on liquidity risk in asset management, focusing on managing the asset-liability liquidity risk.
\begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in [8,9,18] for -models. We also apply the spanning power properties to the pricing problem. In particular, we show that prices …
The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational method, which generalizes the…
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 optimizes dividend strategies for companies with assets and liabilities under solvency constraints.