Kall
Fakultäten » Wirtschaftswissenschaftliche Fakultät » Betriebswirtschaftslehre, Institut für » Prof. Dr. Peter Kall (emeritiert) » Kall
Completed research project
| Title / Titel | Multiperiod asset-liability management models with minimizing conditional value-at-risk, for a Swiss pension fund | ||||||
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| Abstract (PDF, 14 KB) | |||||||
| Original title / Originaltitel | Mehrperiodiges Asset- und Liability-Management Modell mit Minimierung von Conditional Value-at-risk, für eine Schweizer Pensionskasse | ||||||
| Summary / Zusammenfassung | Specification of a multiperiod Asset and Liability Management model (ALM-model) for Swiss pension funds and its implementation in the model management system SLP-IOR. The research includes: specification of a multivariate Markov regime switching model and estimation of its parameters by the Gibbs-sampling method, on the basis of historical returns for several asset classes and the historical growth rates of the liability classes. Based on the results of the econometric analysis, development of scenario generation techniques for the ALM model. Formulations as multi-stage recourse models and implementation in SLP-IOR. Application to Swiss pension funds. Computational experimentation and interpretation of the results. The research is part of the doctoral project of A. Künzi-Bay. The project has been successfully completed in 2007 with acceptance of the Thesis of A. Künzi-Bay. |
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| Publications / Publikationen | A. Künzi-Bay and J. Mayer: "Computational aspects of minimizing conditional value-at-risk", Computational Management Science, 3:3-27, 2006.Alexandra Künzi-Bay: "Mehrperiodige ALM-Modelle mit CVaR-Minimierung für Schweizer Pensionskassen", Dissertation, Wirtschaftswissenschaftliche Fakultät, Universität Zürich, 2007 |
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| Keywords / Suchbegriffe | stochastic programming, multiperiod optimization models, asset-liability management, risk management, conditional value-at-risk, pension funds | ||||||
| Project leadership and contacts / Projektleitung und Kontakte |
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| Funding source(s) / Unterstützt durch |
Forschungskredit der Universität Zürich, Nachwuchsförderungskredit der Universität Zürich |
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| Duration of Project / Projektdauer | Jan 2002 to Dec 2007 |