Title :
A New Model for Generating Scenarios in ALM
Author :
Hu Jinjin ; Tang Guoxing
Author_Institution :
Sch. of Manage., Fudan Univ., Shanghai
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;
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
DOI :
10.1109/WiCom.2008.2408
