Finance White Papers
Risk-Based Portfolio Optimization Using SAS
Overview In the midst of the recent turbulence in financial markets, risk management has become an increasingly critical part of the decision-making process in financial institutions. A risk-based profitability strategy helps increase firm value and helps avoid costs associated with financial distress. This paper explains how advanced risk analysis and optimization products from SAS can work together to enable optimal, risk-adjusted portfolio decisions. Several portfolio optimization problems are discussed: maximization of portfolio return subject to a target risk tolerance, expressed as standard risk measures such as value at risk (VaR); minimization of asset/liability mismatch through cash flow allocation minimization; and minimization of capital requirements by employment of an optimal risk mitigation strategy.
| Publisher | SAS Institute | File Format | |
|---|---|---|---|
| Date Published | February 2009 | ||
| Format | White Papers | ||
| Topics | |||
-
Did you find this white paper useful? 1 out of 2 users found this white paper useful
White Paper RSSHP MPS solution for AIB
DownloadAllied Irish Bank (AIB) wanted a Managed Print Services (MPS) solution at its head office that would improve service quality, deliver cost savings and lower operational risk. One of the...
True SaaS in Capital Markets
IT services has been one of the greatest victims of the current economic downturn. Both customers and vendors are struggling to create new engagement models that deliver tangible returns to...
Inside IFRS: The Opportunity for Energy IT
Conversion to International Financial Reporting Standards (IFRS) will likely be the largest single change of accounting policies and procedures ever undertaken by US companies. The move to IFRS may compel...
AT&T Inc. Upgrades to Oracle E-Business Suite Release 12 to Centralize Accounting Processes
AT&T Inc. wanted to upgrade the company's existing Oracle Enterprise Resource Planning (ERP) system to accommodate recent communications industry acquisitions and more easily incorporate international operating companies. The challenge was...
Control Solutions, Inc. Streamlines Business Processes and Improves Financial Reporting With Oracle E-Business Suite Release 12
Control Solutions, Inc. wanted to replace legacy systems to improve data visibility and provide a single, accurate view of all company financial information and supply chain activity and provide a...
