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Research Article Open access CC BY 3.0

The Price of Asset-liability Control under Tail Conditional Expectation with No Transaction Cost

Bright O. Osu

Journal of Advances in Mathematics and Computer Science · pp. 129–140 · Published 8 May 2011

10.9734/BJMCS/2011/355

Abstract

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.

Risk management Tail conditional expectation Asset-liability control optimal price Value-at-risk Financial institution

Cited by 1

Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries

Tolulope Latunde, Opeyemi Odunayo Esan, Joseph Oluwaseun Richard · Journal of the Nigerian Society of Physical Sciences · 2020

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