DocumentCode
3468808
Title
A New Model for Generating Scenarios in ALM
Author
Hu Jinjin ; Tang Guoxing
Author_Institution
Sch. of Manage., Fudan Univ., Shanghai
fYear
2008
fDate
12-14 Oct. 2008
Firstpage
1
Lastpage
4
Abstract
Facing with the problem of simulating the dynamic processes of scenario variables in the asset and liability management for the financial institutions, we propose a new model, vector error correction model with specified constraints, to fit the long-term dynamic process of the random vectors. Comparing with the traditional econometric methods, vector error correction model, we can conclude that the VECM with specified constraints is more superior to VECM.
Keywords
error correction; financial management; asset-liability management; financial institutions; vector error correction model; Asset management; Bonding; Economic indicators; Error correction; Financial management; Government; Insurance; Predictive models; Reactive power; Unemployment;
fLanguage
English
Publisher
ieee
Conference_Titel
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location
Dalian
Print_ISBN
978-1-4244-2107-7
Electronic_ISBN
978-1-4244-2108-4
Type
conf
DOI
10.1109/WiCom.2008.2408
Filename
4680597
Link To Document