The Price of Asset-liability Control under Tail Conditional Expectation with No Transaction Cost
Journal of Advances in Mathematics and Computer Science · pp. 129–140 · Published 8 May 2011
10.9734/BJMCS/2011/355Abstract
Asset-liability management is a means of managing the risk that can arise from the changes in the relationship between assets and liabilities. Value-at-risk (VaR) and tail conditional expectation (TCE) have also emerged in recent years as standard tools for measuring and controlling the risk of trading portfolios. In some dynamical settings however, the limits of TCE can be transformed into the limits of VaR and conversely even though TCE is more preferable to VaR since it is coherent and VaR is not. In this paper we obtain the optimal price of an institution’s assets- liabilities under the TCE with no transaction cost.
Cited by 1
Tolulope Latunde, Opeyemi Odunayo Esan, Joseph Oluwaseun Richard · Journal of the Nigerian Society of Physical Sciences · 2020
Related research
- Assessing the Nature of Risk Management Implementation in Manufacturing Small Medium Enterprises in Nigeria — shares topic coverage
- Risk Management Framework for the Power Grid Cyber-Physical Security — shares topic coverage
- Benefit-Risk Analysis for Foods (BRAFO)- Executive Project Summary — shares topic coverage
- Managing Corporate Identity Risk as a Strategic Indicator on Organizational Performance — shares topic coverage
- The Impact of Corporate Governance on Derivatives Usage–Empirical Evidence from African Non-financial Firms — shares topic coverage
Article metrics
Real usage data collected on this platform.
1
Page views
0
PDF downloads
0
Outbound clicks
1
Citations
Views over time
Views by country
Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".
Traffic sources
Referring site, by host.
Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.