Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk

DOI10.1007/S10479-016-2354-6zbMATH Open1404.91269OpenAlexW2556121307MaRDI QIDQ1703573FDOQ1703573

Authors: Danjue Shang, Victor Kuzmenko, Stan Uryasev 

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2354-6

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zbMATH Keywords

conditional value-at-risk (CVaR)risk managementbond immunizationbuffered probability of exceedance (bPOE)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Pricing interest-rate-derivative securities
• Dynamic stochastic programming for asset-liability management
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Asset/liability management under uncertainty for fixed-income securities
• Cash flow matching: a risk management approach
• Maximization of AUC and buffered AUC in binary classification
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition

Cited In (11)

• Higher-moment buffered probability
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Sample average approximation for risk-averse problems: a virtual power plant scheduling application
• Zeroth-order stochastic compositional algorithms for risk-aware learning
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Gradients and subgradients of buffered failure probability
• Risk-Averse Stochastic Programming vs. Adaptive Robust Optimization: A Virtual Power Plant Application
• Buffered-ranking intervals for virtual profit efficiency analysis
• Cash flow matching: a risk management approach
• Developing a model for a modulating mirror fixed on active supports: stochastic model
• Minimizing buffered probability of exceedance by progressive hedging

Uses Software

• Portfolio Safeguard
• PSG

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