Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpo[...]

Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-manage[...]

The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of s[...]

The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of sev[...]

Countries hold foreign reserves for various reasons, which include foreign-exchange intervention and liquidity provision. To ensure that reserves can meet their objective[...]

An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated lia[...]