The Price of Asset-liability Control under Tail Conditional Expectation with No Transaction Cost

摘要

Asset-liability management is a means of managing the risk that can arise from the changes in the relationship between assets and liabilities. Value-at-risk (V_aR) and tail conditional expectation (TCE) have also emerged in recent years as standard tools for measuring and controlling the risk of trading portfolios. In some dynamical settings however, the limits of TCE can be transformed into the limits of V_aR and conversely even though TCE is more preferable to V_aR since it is coherent and V_aR is not. In this paper we obtain the optimal price of an institution’s assets- liabilities under the TCE with no transaction cost.