Thesis (Ph. D.)--University of Hong Kong, 2010. / Includes bibliographical references (leaves 151-159). Also available in print.

published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017 / This study assesses the effect of Asset Liability Management Strategies on Performance of Commercial Banks. That is, those factors that are responsible for differences between returns generated on assets and costs incurred on liabilities by banks in Lesotho. The study also investigates the impact of bank regulation on banks performance. The study results suggest that only one regulatory variable namely Capital adequacy ratio has a strong influence on the profitability of commercial banks in Lesotho. The other regulatory variable namely Liquidity ratio has a negative but statistically insignificant impact on banks’ performance while AML variable, Gap ratio, has positive but also statistically insignificant impact on banks performance. Furthermore, the control variables have positive, insignificant impact on banks performance. / MT2017

Mean-variance criterion in optimization AL problem aims at maximizing the final surplus; asset value minus liability value, subject to a given variance of the final surplus or, equivalently, minimizing the variance of the final surplus subject to a given expected final surplus. The stochastic optimal control theory is employed to analytically solve the AL management problem in continuous-time setting. Then the comparison of derived optimal AL management policy and the literatures are examined and the discrepancy in objectives between equity holders and investors of a mutual fund is discussed finally. / Portfolio selection in asset-liability (AL) management is to seek the best allocation of wealth among a basket of securities with taking into account the liabilities. There are a lot of portfolio selection criteria among in the literature. The two of them are mean-variance criterion and Roy's safety-first principle. This thesis investigates the optimal asset allocation for an investor who is facing an uncontrollable liability under either one of these two portfolio constructions. The relation between these two different principles are discussed in the context of AL management. / Roy's safety-first principle (Roy, 1956) asserts that the investor would specify a threshold level of the final surplus below which the outcome is regarded as disaster. The objective is then to minimize the ruin probability or the chance of disaster subject to a constraint that the expected final surplus is higher than the threshold. Roy however solves this problem by minimizing an upper bound of the ruin probability based on the Bienayme-Chebycheff inequality. With the same consideration of Roy, the analytical trading strategy of the safety-first. AL management, problem, in the sense of surplus, under both continuous- and multi-period-time settings are derived. We link this surrogated safety-first principle to the mean-variance ones. / The final objective of this thesis attacks the genuine safety-first AL problem. Without replacing the ruin probability in the objective function by its upper bound, we use a martingale approach and consider the funding ratio which is the total wealth divided by the total liability. Two important situations in the literature are investigated. In the first situation, the mean constraint of the original problem is removed, We show that removing the mean constraint makes the problem become a target reaching problem that can be solved analytically. However, the essence of safety-first is lost. In the second case in which the mean constraint is there, the problem becomes ill-posed and is then solved using an approximation using a martingale approach. The approximation relies on the assumption that the investor gives up unreasonably high profits and sets an upper bounded for the final funding ratio. / Chiu, Mei Choi. / "July 2007." / Adviser: Duan Li. / Source: Dissertation Abstracts International, Volume: 69-02, Section: B, page: 1304. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2007. / Includes bibliographical references (p. 121-126). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. [Ann Arbor, MI] : ProQuest Information and Learning, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract in English and Chinese. / School code: 1307.

The recent financial crisis highlights the importance of understanding factors that affect financial market price efficiency. Experimental methods allow us to control the intrinsic value of an asset, thus become an attractive technique for studying asset market price efficiency. This dissertation consist three essays, all of which devoted to experimental asset markets. The first essay explores the role of liquidity on the mispricing of an asset. This issue has been the subject of Kirchler et al. (2012) AER paper. By re-analysing the evidence in that article, the first essay concluded that their experimental design have a weakness that biased the results. Therefore, I designed an experiment that eliminates the weakness. The results of my experiment indicate that Constant C/A ratio could reduce mispricing of experimental asset market significantly, but not necessary to lead to undervaluation. The second essay explores how the description of the asset market to the human participants influences the mispricing of the asset being traded. This issue has been the subject of Kirchler et al. (2012) AER paper. When re-assessing the evidence, I was puzzled by the findings and thought that the small sample size of the dataset collected might explain why a minor change to the description of the asset market provided to the participants produced completely different behaviour. This essay replicates the experiment, with a larger sample size and relies on different statistical tests to analyse the data. I find that the treatment with a different contest (“stocks of a depletable of gold mine”) exhibits similar level of mispricing and overvaluation with the baseline treatment., which is not consistent with Kirchler et al. (2012). The third essay is about an experiment that compares how team decision-making vs. individual decision-making differ in how they influence the mispricing of the asset being traded. The main result is that team decision-making does not result in smaller price bubbles. However team decision-making result in less variance among markets (sessions). Further more, my experimental design allows us to record the chat dialogues, which enable us to have insight into team decision-making. The content of the messages allows us explore the reasons behind traders' asks and bids.

by Chan Chi Kan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 57-59.

Asset Liability Management is relevant to, and critical for, the sound management of the finances of any organization that invests to meet its future cash flow needs and capital requirements. For a life insurance company in particular, it is an important component of the actuarial work in the company. What an insurance company sells to customers is a promise. Cash flow testing is such a process of testing the insurance company’s ability to keep its promises. The purpose of this report is to provide a brief introduction of the assets and liabilities of an insurance company and how cash flow testing is done in Prophet, an actuarial software used in the industry. / text

M.Com. (Business Economics) / By paying more attention to the risks associated with funding, banks will be able to fund themselves more effectively. Of especial importance are liquidity and interest rate risk because of the perceived trade-off that exists between them. This complicates the funding of a bank. To manage the liquidity and interest rate risks effectively requires a comprehensive analysis to ensure that they are properly understood. The causes, origins, inter-relationships with other risks and the measurement of risk are investigated thoroughly. The management of these risks is then examined. With regard to risk management, it is especially important not to focus on anyone risk in isolation, but to manage the multiple risk profile bearing in mind their interrelationships. All the risks a bank is exposed to are ultimately reflected in capital risk. Stringent capital requirements are imposed upon banks and these are being phased in over the period to 1995. Consequently capital risk is also investigated. The relationship that exists between liquidity risk and interest rate risk is investigated. Ways and means to separate these two risks are examined to try and manage them separately. In this way each of these two risks can be managed within acceptable norms. To achieve this goal, the use of the traditional funding instruments, modified funding instruments and derivatives are examined. Each of these are investigated and applied to the funding of a bank. The yield curve is investigated as one of the ways to explain the term structure of interest rates. The different types of yield curves and the meaning of each are dealt with. Thereafter the use of yield curve analyses in forecasting interest rates is assessed with a view to formulating an optimal funding strategy. An asset and liability model was used during the analysis of liquidity risk, interest rate risk and the yield curve.

by Mok Man-fai, Mansfield. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1990. / Bibliography: leaves 49-50. / ABSTRACT --- p.i / ACKNOWLEDGEMENT --- p.ii / TABLE OF CONTENTS --- p.iii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- EURODOLLAR FUTURES AND OPTIONS --- p.3 / Eurodollar Futures --- p.3 / Hedging With Eurodollar Futures --- p.4 / Options On Eurodollar Futures --- p.5 / Contract Type --- p.5 / Contract Style --- p.6 / Contract Lifespan --- p.6 / Contract Value --- p.6 / Hedging With Eurodollar Options --- p.7 / Naked Positions --- p.7 / Chapter III. --- ASSET/LIABILITY MANAGEMENT --- p.9 / Gap Concept --- p.10 / Gap Analysis --- p.11 / Types of Gaps --- p.12 / Positive And Negative Gaps --- p.13 / Voluntary And Involuntary Gaps --- p.13 / Chapter IV. --- HEDGING THE GAP --- p.14 / Macro Hedge --- p.14 / Micro Hedge --- p.17 / Macro Hedge vs Micro Hedge --- p.17 / Chapter V. --- HEDGING METHODOLOGY --- p.19 / Cross Hedge Basis Risk --- p.20 / Hedge Ratio --- p.20 / Time Basis Risk . . --- p.21 / Basic Hedge With No Time Basis Risk --- p.23 / Example 1: Single 90-Day Gap --- p.24 / Example 2: Single 30-Day Gap --- p.24 / Example 3: Single 180-Day Gap --- p.25 / Example 4: Series of 90-day gaps --- p.25 / Example 5: Series of 30-Day Gaps --- p.26 / Basic Hedge With Time Basis Risk --- p.27 / Hedging Of A Series Of Liability Issues --- p.32 / Strip hedge --- p.32 / Stack hedge --- p.33 / Chapter VI. --- OPTIONS AND FUTURES --- p.35 / Similarities and Differences --- p.35 / Merits And Demerits --- p.37 / Chapter VII. --- REASONS FOR HEDGING --- p.39 / Merits --- p.39 / Demerits --- p.40 / Chapter VIII. --- THE SITUATION IN HONG KONG --- p.42 / Chapter IX. --- CONCLUSION --- p.45 / APPENDIX --- p.47 / BIBLIOGRAPHY --- p.49

Some insurance firms are faced with the unique challenge of managing risks that are large, infrequent, and potentially highly correlated within geographic regions and/or across product lines. An example of this is crop insurance, which includes weather risk, and leads to a portfolio of risks with high variance. A solution to this problem is undertaken in this study, through using a combination of pooling and private reinsurance in a portfolio approach. This approach takes advantage of offsetting risks across regions, in order to reduce risk in a cost effective manner. An asset liability management (ALM) approach is used to examine the entire crop insurance sector for Canada. This is the first study to focus on pooling for an entire insurance sector in a country, and it uses all major crops from 1978-2009, across 10 regions (provinces). Chapter two develops an innovative insurance portfolio under a full premium pool, combining a self managed insurance pool and private reinsurance using the coefficient of variation (CV) of the loss coverage ratio (LCR), Model 3. Results show that this portfolio approach reduces risk across regions. Chapter three, in contrast to chapter two, uses a reinsurance premium pool, where regions contribute only a portion of their risk to a reinsurance pool. An improved insurance portfolio model is developed in chapter three, using combinatorial optimization with a genetic algorithm to combine a self managed reinsurance pool and private reinsurance, Model C. Results show that this reinsurance portfolio model efficiently reduces risk. Chapter four uses a similar approach to chapter three, except that it allows for dependence (correlation) across regions. Results for this model (Model CC) are consistent with those of chapter three, indicating the effectiveness of the portfolio approach when correlation is present across regions. Overall, the portfolio models developed in each of the three chapters (Model 1, Model C, and Model CC), produce acceptable surplus, survival probability, and deficit at ruin, indicating that the portfolio approach using pooling is efficient for reducing risk. Beyond crop insurance, the portfolio models can be applied to other large natural disaster and weather related insurance, and other portfolio applications.