Mathematical and Statistical Methods for Actuarial Sciences and Finance

4 L. Ballester, R. Ferrer, and C. Gonz ́alez 4Data The sample consists of all commercial banks listed on the Spanish Stock Excha ...

Impact of interest rate risk on the Spanish banking sector 5 level.^1 The formation of portfolios has a twofold advantage. First ...

6 L. Ballester, R. Ferrer, and C. Gonz ́alez Ta b le 3 .Maximum likelihood estimates of the GARCH-M extended model 3-month inter ...

Impact of interest rate risk on the Spanish banking sector 7 Concerning the impact of interest rate changes,θiis always negative ...

8 L. Ballester, R. Ferrer, and C. Gonz ́alez Turning to the mean equation of the GARCH-M model, the parameterγihas usually been ...

Impact of interest rate risk on the Spanish banking sector 9 mated: Rit=ωi+λiRmt+θiIt+ηiDtIt+γiloghit+it (6) hit=α 0 +α 1 ^2 ...

10 L. Ballester, R. Ferrer, and C. Gonz ́alez long-term rates being the ones which exert greater influence. This negative relati ...

Impact of interest rate risk on the Spanish banking sector 11 Fraser, D.R., Madura, J., Weigand, R.A.: Sources of bank interest ...

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Tracking error with minimum guarantee constraints Diana Barro and Elio Canestrelli Abstract.In recent years the popularity of in ...

14 D. Barro and E. Canestrelli address the dynamic portfolio management problem when both a minimum guaran- tee and a tracking e ...

Tracking error with minimum guarantee constraints 15 Not every value of minimum guarantee is reachable; no arbitrage arguments c ...

16 D. Barro and E. Canestrelli Considering a given benchmark, different sources of tracking error can be analysed and discussed, ...

Tracking error with minimum guarantee constraints 17 on the choice of the benchmark, which cannot exceed the return on the risk- ...

18 D. Barro and E. Canestrelli (v 1 kt,...,vnkt)denoting the value of each asset purchased and sold at timetin node kt, while we ...

Tracking error with minimum guarantee constraints 19 qikt=( 1 +rikt) [ qif(kt)+aif(kt)−vif(kt) ] i= 1 ,...,n 1 (9) bjkt=( 1 +rjk ...

20 D. Barro and E. Canestrelli follows Pr(Wt≤zt)≤ 1 −θ Pr(WT≤zT)≤ 1 −θ whereWtis the random variable representing the level of w ...

Tracking error with minimum guarantee constraints 21 Dempster, M.H.A., Thompson, G.W.P.: Dynamic portfolio replication usign st ...

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Energy markets: crucial relationship between prices Cristina Bencivenga, Giulia Sargenti, and Rita L. D’Ecclesia Abstract.This s ...