23. Refinancing Mortgages in Switzerland

Frauendorfer, Karl; Schürle, Michael

doi:10.1137/1.9780898718799.ch23

Cited by 3 publications

(2 citation statements)

References 32 publications

(34 reference statements)

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“…As an illustration of the functionality and performance of bounding methods, we now present a practical example from financial risk management. It is a simplified version of a model that was developed for a major Swiss bank (for details, see [23,33,34]) to solve the following problem: A significant portion of a typical bank's balance sheet consists of liability positions with no contractual maturity like savings deposits. Their characteristic feature is that bank clients may freely add or withdraw investments anytime at no penalty.…”

Section: Application In Financial Risk Managementmentioning

confidence: 99%

“…However, this choice is not consistent with definition 3.2. It is argued in [34] that the saddle property of the recourse functions is sometimes given also for γ = 1, since this specification still entails a linear dependency of η t on its history of observations. In order to cope with other parameter values 10 γ > 0, one has to represent the risk factors as nonlinear combinations of some serially independent disturbances.…”

Section: Check Of Regularity Conditionsmentioning

confidence: 99%

See 1 more Smart Citation

Barycentric Bounds in Stochastic Programming: Theory and Application

Frauendorfer

Kühn

Schürle

2010

International Series in Operations Research &Amp; Management Science

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The design and analysis of efficient approximation schemes is of fundamental importance in stochastic programming research. Bounding approximations are particularly popular for providing strict error bounds that can be made small by using partitioning techniques. In this article we develop a powerful bounding method for linear multistage stochastic programs with a generalized nonconvex dependence on the random parameters. Thereby, we establish bounds on the recourse functions as well as compact bounding sets for the optimal decisions. We further demonstrate that our bounding methods facilitate the reliable solution of important real-life decision problems. To this end, we solve a stochastic optimization model for the management of non-maturing accounts and compare the bounds on maximum profit obtained with different partitioning strategies.

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Section: Application In Financial Risk Managementmentioning

confidence: 99%

Section: Check Of Regularity Conditionsmentioning

confidence: 99%