Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
In this paper we propose an approach to Asset Liability Management of various institutions, in particular insurance companies, based on a dual VaR constraint for the asset and the surplus. A key ingredient of this approach is a flexible modelling of the term structure of interest rates leading to an explicit formula for the returns of bonds. VaR constraints on the asset and on the surplus also take tractable forms, and graphical illustrations of the impact and of the sensitivity of these constraints are easily explicited in terms of various parameters: share of stocks, duration and convexity of the bonds on the asset and liability sides, expected return and volatility of the asset...
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS|
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- Olivier Darné & Laurent Ferrara, 2011.
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"Education, Market Rigidities and Growth,"
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Documents de recherche
07-05, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Sanvi Avouyi-Dovi & Jean-Guillaume Sahuc, 2009. "Comportement du banquier central en environnement incertain," Revue d'économie politique, Dalloz, vol. 119(1), pages 119-142.
- Avouyi-Dovi, S. & Sahuc, J-G., 2009. "Comportement du banquier central en environnement incertain," Working papers 241, Banque de France.
- Avouyi-Dovi, S. & Bardos, M. & Jardet, C. & Kendaoui, L. & Moquet , J., 2009. "Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector," Working papers 238, Banque de France.
- repec:dau:papers:123456789/11161 is not listed on IDEAS
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