IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Optimal Portfolio Allocation under Asset and Surplus VaR Constraints

  • Monfort, A.

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...

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT251.pdf
Download Restriction: no

Paper provided by Banque de France in its series Working papers with number 251.

as
in new window

Length: 42 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:bfr:banfra:251
Contact details of provider: Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Avouyi-Dovi, S. & Sahuc, J-G., 2009. "Comportement du banquier central en environnement incertain," Working papers 241, Banque de France.
  2. Bardos, Mireille & Moquet, Jeremy & Kendaoui, Ludovic & Jardet, Caroline & Avouyi-Dovi, Sanvi, 2009. "Macro stress testing with a macroeconomic credit risk model : Application to the French manufacturing sector," Economics Papers from University Paris Dauphine 123456789/11161, Paris Dauphine University.
  3. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
  4. Aghion, Ph. & Askenazy, Ph. & Bourlès, R. & Cette, G. & Dromel, N., 2009. "Education, Market Rigidities and Growth," Working papers 229, Banque de France.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:251. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael brassart)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.