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Massively Parallel Asset and Liability Management [chapter]

Andreas Grothey
2011 Lecture Notes in Computer Science  
Multistage Stochastic Programming is a popular method to solve financial planning problems such as Asset and Liability Management (ALM).  ...  The latter class in particular is appealing due to its flexibility with regard to model formulation and its amenability to parallelisation on massively parallel architectures.  ...  Problems of many millions of variables can now be routinely solved on moderate parallel hardware with almost linear speed-up, while the use of dedicated massively parallel machines makes the solution of  ... 
doi:10.1007/978-3-642-21878-1_52 fatcat:vrmx35lmfbfxxbj563eww4shi4

Pricing structured equity products on GPUs

A. Bernemann, R. Schreyer, K. Spanderen
2010 2010 Workshop on High Performance Computational Finance at SC10 (WHPCF)  
This paper tries to bring out various applications, which currently use the HPC in conjunction with efficient parallel algorithms to achieve the Asset--Liability match and Investment Risk Management in  ...  Asset--Liability and Investment Risk Management is a crucial part of any Insurance company which offers Life, Annuity, Retirement and various other financial products to individuals or to institutions  ...  The paper presents the design and implementation of a massively parallelized Quasi-Monte Carlo simulation on a FPGA based supercomputer.  ... 
doi:10.1109/whpcf.2010.5671821 fatcat:25ezhiqpt5e4tletthx4ownylm

Page 83 of Journal of Financial Services Research Vol. 10, Issue 1 [page]

1996 Journal of Financial Services Research  
Therein lies an uncomfortable parallel with the S&L debacle.  ...  FSLIC was the government agency that insured deposits at savings and loan associations until it was replaced in 1989, leaving a massive deficit to be financed by taxpayers.  ... 

Asset/Liability Management for Insurers in the New Era: Focus on Value

DAVID F. BABBEL
2001 The Journal of Risk Finance  
While asset/liability management has been applied widely by insurers for 15 years, all is not well.  ...  Redington [1952] was the first to link these concepts to insurers' assets and liabilities. Not much was done by insurers to implement those concepts over the ensuing three decades.  ...  Much of what was projected in "Asset/Liability Management for Insurers" (Babbel and Stricker [1987] ) and "Gazing into the Insurance Future" (Babbel [1988] ) has already come to fruition, but not all  ... 
doi:10.1108/eb043479 fatcat:vez3lufmnvfj3hh5utjo6drbci

A STUDY ON THE ANALYSIS OF ALTMAN Z - SCORE MODEL ON LISTED INDIAN AIRLINE COMPANIES TO MEASURE FINANCIAL DISTRESS

Ajit Prasad Mahato, Anil Kumar Yadav
2020 Zenodo  
Lastly, in order to sustain the Airline industry, it requires support from the government and financial authorities to operate in difficult times by extending or reforming and relaxation on borrowings  ...  At present, the Airline sector is financially weak and there is a possibility of insolvency in the coming years.  ...  The firm's management has to take radical steps to change this trend and improve the productivity of the assets and capital employed.  ... 
doi:10.5281/zenodo.4013971 fatcat:3kiygcrduvbvfmy7p67kpgbhke

A Macro View of Shadow Banking: Levered Betas and Wholesale Funding in the Context of Secular Stagnation

Zoltan Pozsar
2015 Social Science Research Network  
leveraged bond portfolios across the asset management complex in search for yield.  ...  To that end, the use of repo and securities lending by bond portfolios across the asset management complex exceeds the use of repo by banks and broker-dealers to fund their own bond portfolios and inventories  ...  Treasury term premium and mortgage spreads, respectively, and see these developments also as a result of the massive run-up in the volume of levered bids for these securities coming from asset managers  ... 
doi:10.2139/ssrn.2558945 fatcat:wsvn6vwhmfertb3majt7a27sxa

Exploratory Study on the Capitalization of Accounting Information by Financial Constructions Determined on the Basis of the Balance Sheet

Alina-Teodora Ciuhureanu
2017 Scientific Bulletin  
This is because the processed accounting information is the one that contributes to the setting of objectives and strategy and at the same time provides the necessary information capital for proper management  ...  The aim of the paper is to capture the benefits of using it by management and not to detail indicators / rates / tools in terms of calculation methods.  ...  The use of information to establish financial balance is essential to ensure long-term health and long-term financial vitality in parallel with achieving prosperity amid massive changes.  ... 
doi:10.1515/bsaft-2017-0010 fatcat:6z2htvtrvbfu3knfaovrziweke

High Performance Business Computing

Guido Schryen, Natalia Kliewer, Andreas Fink
2019 Business & Information Systems Engineering  
enhancements to address several of its problems more effectively and efficiently, and c) massive parallel computing and HPC capabilities become commodity goods for researchers, we believe and hope that  ...  Acknowledging that a) future enhancements in computing performance will come methodologically primarily from parallelization, b) business research and economics need to exploit computational performance  ...  In the article Efficient Model Points Selection in Insurance by Parallel Global Optimization using Multi CPU and Multi GPU, the authors apply parallel computing to a problem occurring in asset liability  ... 
doi:10.1007/s12599-019-00622-2 fatcat:cdqnktzzunc4tdeiv5hrxqnjzm

Risk Classification Of Smes By Early Warning Model Based On Data Mining

Nermin Ozgulbas, Ali Serhan Koyuncugil
2012 Zenodo  
By using EWS model, 31 risk profiles, 15 risk indicators, 2 early warning signals, and 4 financial road maps has been determined for financial risk mitigation.  ...  ACKNOWLEDGMENT This research was funded by The Scientific and Technological Research Council of Turkey (TUBITAK).  ...  When data mining tools are implemented on high performance parallel processing systems, they can analyze massive databases in minutes.  ... 
doi:10.5281/zenodo.1083511 fatcat:rwzrcn4q6bbktdqigc76fmov44

Financial Risk Management by Insurers: An Analysis of the Process

Anthony M. Santomero, David F. Babbel
1997 Journal of Risk and Insurance  
risk and asset/liability management during the past few years is remarkable.  ...  asset and liability categories.  ...  The first approach values these options as contingent claims on the assets of the firm (see Merton, 1974; Black and Cox, 1976; Ho and Singer, 1982  ... 
doi:10.2307/253730 fatcat:sdhiv3artbhzhfdk5jivv5tqqm

Global and Euro Imbalances: China and Germany

Guonan Ma, Robert N. McCauley
2014 China & World Economy  
and liabilities, distribution of income; world banker BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time  ...  by other economists, and are published by the Bank.  ...  Japan United Kingdom Others 1 1 Sum of 110 economies.Sources: IMF, Sum of assets and liabilities. 2 Sum of assets and liabilities, including reserves.  ... 
doi:10.1111/j.1749-124x.2014.12050.x fatcat:bmikld3idrdolljhirozc6mmu4

The Essential Role of Organizational Law [chapter]

HENRY HANSMANN, REINIER KRAAKMAN
2004 The Governance of Close Corporations and Partnerships  
parallels an efficiency of affirmative asset partitioning.  ...  increasing use of the corporate form for small businesses, together with the recent advent of potentially massive tort liability for environmental harms, workplace hazards, and injurious products, suggests  ... 
doi:10.1093/acprof:oso/9780199264353.003.0002 fatcat:xpjyhcdyynhubliflsvf7kyqre

The Essential Role of Organizational Law

Henry Hansmann, Reinier H. Kraakman
2000 Social Science Research Network  
over individual creditors of the firm's managers or HBIs.  ...  Our contribution here is to demonstrate the close relationship between asset partitioning and organizational law.  ...  The HBIs (and perhaps the business creditors) would retain a contractual claim against the manager in such a case, but that claim would be parallel with, rather than superior to, the claims of the manager's  ... 
doi:10.2139/ssrn.229956 fatcat:t7zv4ajdmna7bji4ceoggsgt2y

COMMENTARY: QUANTITATIVE TIGHTENING: PROTECTING MONETARY POLICY FROM FISCAL ENCROACHMENT

William A. Allen, Jagjit S. Chadha, Philip Turner
2021 National Institute Economic Review  
Threats to central bank independence and budgetary sustainability Monetary policy now has large fiscal implications.  ...  When, for example, central banks begin to tighten monetary policy and raise rates (or when international long-term interest rates increase), there will be substantive implications for fiscal sustainability  ...  Young for helpful comments and discussions.  ... 
doi:10.1017/nie.2021.27 fatcat:e74i36kt6ff65puyi47c3hh2w4

How Insurers Differ from Banks: A Primer in Systemic Regulation

Christian Thimann
2014 Social Science Research Network  
This parallel treatment of banks and insurers is also found in a number of important contributions on systemic risk in the academic literature. This paper challenges this approach.  ...  the 'built-in bail-in' of a significant part of insurance liabilities through policy-holder participation.  ...  As investors, insurers seek a match between assets and liabilities, which is the main function of their asset-liability management and as they can choose the assets in view of their liability structure  ... 
doi:10.2139/ssrn.2502458 fatcat:wryj2znjb5gvng6khe6tc5gz5u
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