Publications des institutions partenaires
Medium-term planning for thermal electricity production
Institution partenaire
English / 06/07/2013
Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts
Retail banks usually apply simple linear regression models for describing the dynamics of the deposit rates of non-maturing accounts (NMA) like savings deposits. Thus, typical patterns like asymmetry or rigidity that banks follow when adjusting their deposit rates are ignored. This is insofar surprising, as the asymmetric deposit rate adjustment affects the pricing of embedded…
Institution partenaire
English / 04/04/2013
Extreme spillover between shadow banking and regular banking
The current financial crisis brought light to a large banking sector that existed for decades within the "darkness" of the financial system - the shadow banking sector. Shadow bank assets are widely traded in the financial markets and shadow banking activities are intertwined with the daily business of regular banks. This unregulated banking sector has become systematically…
Institution partenaire
English / 01/01/2013
Modeling non-maturing savings volumes
In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncer- tainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates and to relevant macroeconomic factors. We derive a realistic volumes model, that allows for…
Institution partenaire
English / 02/07/2012
Barycentric Bounds in Stochastic Programming : Theory and Application
The design and analysis of efficient approximation schemes is of fundamental importance in stochastic programming research. Bounding approximations are particularly popular for providing strict error bounds that can be made small by using partitioning techniques. In this article we develop a powerful bounding method for linear multistage stochastic programs with a generalized…
Institution partenaire
English / 01/01/2011
Modeling the rigidity of client rate for non-maturing accounts
Institution partenaire
English / 28/08/2010
Modeling client rate and volumes of non-maturing accounts
In this paper we develop models for the client rate and the volumes of non-maturing accounts. We test the hypothesis that movements in the client rate are dependent upon the market rates regime. We find that the responsiveness of the client rate is symmetric to changes in the short rate, but asymmetric to changes in the longer market rates. Furthermore, the speed of adjustment of the…
Institution partenaire
English / 01/01/2010
Modeling client rate and volumes of non-maturing savings accounts
Institution partenaire
English / 28/05/2009
Valuation of electricity swing options by multistage stochastic programming
Electricity swing options are Bermudan-style path-dependent derivatives on electrical energy. We consider an electricity market driven by several exogenous risk factors and formulate the pricing problem for a class of swing option contracts with energy and power limits as well as ramping constraints. Efficient numerical solution of the arising multistage stochastic program requires…
Institution partenaire
English / 01/04/2009
DEVA+ (Dynamic Expectation Variance Analysis), Product Description
The existence of changing correlation structures needs to be taken into account when modelling an asset allocation situation. DEVA + (Dynamic Expectation Variance Analysis) is a multiperiod stochastic optimization approach to identify the optimal tactic and strategic asset allocation. The identified allocation strategies are efficient in a multiperiod context, i.e…
Institution partenaire
English / 01/01/2008
Valuation and Bidding of Hydro Power Plants in the EEX
Institution partenaire
English / 27/08/2007
Regime Switching based Portfolio Selection for Pension Funds
This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well…
Institution partenaire
English / 01/08/2007
Dynamic modelling and optimization of non-maturing accounts
The risk management of non-maturing account positions in a bank's balance like savings deposits or certain types of loans is complicated by the embedded options that clients may exercise. In addition to the usual interest rate risk, there is also uncertainty in the timing and amount of future cash flows. Since the corresponding volume risk cannot directly be hedged, the account…
Institution partenaire
English / 01/01/2007
Risk Measurement in Electricity Markets
Electricity contracts differ substantially from financial contracts making traditional derivatives inapplicable. The main difference lies in the inability to store electricity causing the production to cover demand instantaneously. Therefore, electricity prices often jump to a multiple of their current value only to come back to normal level within a few hours. Spot price volatility…
Institution partenaire
English / 01/01/2007
Dynamic Replication of Non-Maturing Assets and Liabilities
Non-maturing assets and liabilities (NoMALs) are those positions in a bank's balance that have no contractual maturity such as traditional savings deposits. For the calculation of transfer prices and the quantification of interest rate risk, a fix maturity profile must be assigned to a NoMAL position. Usually a replicating portfolio of fixed-income instruments with constant…
Institution partenaire
English / 07/09/2005
Numerical Techniques in Applied Multistage Stochastic Programming
Institution partenaire
English / 01/01/2005
Refinancing Mortgages in Switzerland
This paper presents a multistage stochastic programming model for refinancing mortgages with non-contractual maturity under liquidity restrictions in the market. An extension to the management of other products such as savings accounts is straightforward. The evolution of interest rates is modelled by principal components for short-term and a two-factor mean reversion model with long…
Institution partenaire
English / 01/01/2005
Management of non-maturing deposits by multistage stochastic programming
The management of non-maturing account positions in a bank's balance like savings and sight deposits as well as certain types of variable-rate mortgages is complicated by the embedded options that its clients may exercise. In addition to the usual interest rate risk, uncertainty in the timing and amount of cash flows must be taken into account when investment or refinancing…
Institution partenaire
English / 16/12/2003
Solving Sequences of Refined Multistage Stochastic Linear Programs
Multistage stochastic programs with continuous underlying distributions involve the obstacle of high-dimensional integrals where the integrands' values again are given by solutions of stochastic programs. A common solution technique consists of discretizing the support of the original distributions leading to scenario trees and corresponding LPs which are ? up to a certain size…
Institution partenaire
English / 01/11/2003
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