Fatma Chakroun

University of Sfax-Faculty of Economics and Management (FSEGS)

Airport Road Km 4

Sfax, 3081

Tunisia

SCHOLARLY PAPERS

5

DOWNLOADS

473

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

A Methodology to Estimate the Interest Rates Yield Curve in Illiquid Market: The Tunisian Case

Number of pages: 18 Posted: 15 May 2013 Last Revised: 24 May 2013
Fatma Chakroun and Fathi Abid
University of Sfax-Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 208 (146,406)

Abstract:

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Illiquid Market, Yield Curve of Interest Rates, Cubic Spline, Vasicek (1977) model, CIR (1985) model, OLS, MLE

2.

A Multi-Objective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 19 Posted: 13 Mar 2014
Fatma Chakroun and Fathi Abid
University of Sfax-Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 147 (198,876)

Abstract:

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ALM, Goal Programming, Optimization, Commercial Bank

3.

Bank Capital Adequacy and Risk Aggregation: A General Overview

Number of pages: 43 Posted: 29 Mar 2017
Fatma Chakroun
University of Sfax-Faculty of Economics and Management (FSEGS)
Downloads 62 (351,233)

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Bank balance sheet, Capital regulation, Risk measurement, Risk aggregation

4.

Modeling of Bank Capital Adequacy Ratios via a Lévy Process-Driven Model

Number of pages: 5 Posted: 29 Mar 2017
Fatma Chakroun
University of Sfax-Faculty of Economics and Management (FSEGS)
Downloads 56 (369,333)

Abstract:

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Bank, Capital adequacy ratios, Lévy-process model

5.

A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

The IUP Journal of Financial Risk Management, Vol. X, No. 4, December 2013, pp. 35-56
Posted: 04 Aug 2014
Fatma Chakroun and Fathi Abid
University of Sfax-Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

Abstract:

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