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

DOI10.1007/s10479-016-2354-6zbMath1404.91269OpenAlexW2556121307MaRDI QIDQ1703573

Stan Uryasev, Danjue Shang, Victor Kuzmenko

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

zbMATH Keywords

risk managementconditional value-at-risk (CVaR)bond immunizationbuffered probability of exceedance (bPOE)

Mathematics Subject Classification ID

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

Related Items (10)

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

Uses Software

• Portfolio Safeguard
• PSG

Cites Work

• Unnamed Item
• Dynamic stochastic programming for asset-liability management
• Maximization of AUC and buffered AUC in binary classification
• Asset/liability management under uncertainty for fixed-income securities
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• Cash Flow Matching
• Pricing Interest-Rate-Derivative Securities

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