Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails

Tokat, Yesim; Rachev, Svetlozar T.

doi:10.1016/b978-044450896-6.50015-7

Cited by 2 publications

(1 citation statement)

References 65 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Both asset and liability involves returns that must be earned on one hand, and returns that must be paid on the other hand. Earning and paying these returns however, comes with different dimensions of risk (Grebeck & Rachev 2005;Tokat, Rachev, & Schwartz, 2003). Therefore at the heart of ALM is the risk-return concept.…”

Section: Reviewsmentioning

confidence: 99%

Analysis of Financial Risk Management Strategies of Microfinance Banks

Oyetayo¹,

Eboigbe²

2018

JFRM

View full text Add to dashboard Cite

Risk taking is described as an integral part of financial services. For micro-financing in particular, engaging in proactive risk taking is essential to their viability and long term sustainability. Maintaining a good strategy that ensures an optimal mix in risk-return trade-off is much more important for the microfinance banks (MFBs) that operate on a for-profit basis. Having faulted the value-at-risk technique which is common in the asset and liability literature, we introduce the multi-stage stochastic programming using econometric time series model. Specifically, for the scenario generation, we specify a VaR model with the inclusion of dichotomy regime which captures the multi-stage characteristics of assets. We use the liability derived investment (LDI) model to generate the liability series over the period of study. The optimization result showed that MFBs in Nigeria are by far more risk averse than they are profit seeking. This comes with the attendant effect of not being able to achieve the outreach and sustainability objectives to the fullest. MFBs in Nigeria need to look into their investment strategy with a view to structuring the mix and value of the balance sheet components at different periods to meet their stated objectives.

show abstract

Section: Reviewsmentioning

confidence: 99%