Asset and Liability Management Handbook (eBook, PDF)

• Format: PDF

Produktbeschreibung

Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.

Produktdetails

• Verlag: Palgrave Macmillan UK
• Erscheinungstermin: 29. März 2011
• Englisch
• ISBN-13: 9780230307230
• Artikelnr.: 44925543

Autorenporträt

GAUTAM MITRA is Distinguished Professor and Director of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, UK. He is internationally renowned for his research in the field of Operational Research, in particular computational optimisation and modelling.

KATHARINA SCHWAIGER is Knowledge Transfer Partnership post-Doc Associate at CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, UK.

Inhaltsangabe

Background and Overview of ALM Models; G.Mitra & K.Schwaiger PART I: ALM MODELS APPLIED TO BANKS Bank Asset-Liability and Liquidity Risk Management; M.Choudhry A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management; S,K.Acar, R.Korn, K.Natcheva-Acar & J.Wenzel PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES Long-Term Interest Rates and Consol Bond Valuation; E.Medova, M.Dempster & M.Villaverde Asset-Liability Management Modelling with Risk Control by Stochastic Dominance; X.Yang, J.Gondzio & A.Grothey PART III: ALM MODELS APPLIED TO PENSION FUNDS 401K Pension Plans in the USA; F.Sortino Pensions, Covenants and Insurance; C.Keating Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand; S.S.Hussin, D.Roman, G.Mitra & W.K.W.Ahmad Dynamic Risk Management; S.Jarvis Turning Pension Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers; D.Blake, A.Cairns & K.Dowd Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans; J.M.Mulvey, W.C.Kim & Yi.Ma A Robust Optimization Approach to Pension Fund Management; G.Iyengar & A.K.C.Ma Alternative Decision Models for Liability Determined Investment; K.Schwaiger, C.Lucas & G.Mitra A Liability-Relative Drawdown Approach to Pension Asset Liability Management; A.Berkelaar & R.Kouwenberg ALM in Defined Contribution Pension: A Stochastic Model with reference to Auto Choice Portfolio in NPS in India; H.Sadhak & S.Doss PART IV: ALM MODELS APPLIED TO OTHER AREAS Planning for Retirement: Asset Liability Management for Individuals; M.A.H.Dempster & E.Medova The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management; D.DiBartolomeo Asset Liability Management in Private Wealth Management; N.Amenc, L.Martellini, V.Milhau & V.Ziemann PART VI: DIRECTORY OF ALM SERVICE PROVIDERS Company Details, Summary of Services and Products

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Background and Overview of ALM Models; G.Mitra & K.Schwaiger PART I: ALM MODELS APPLIED TO BANKS Bank Asset-Liability and Liquidity Risk Management; M.Choudhry A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management; S,K.Acar, R.Korn, K.Natcheva-Acar & J.Wenzel PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES Long-Term Interest Rates and Consol Bond Valuation; E.Medova, M.Dempster & M.Villaverde Asset-Liability Management Modelling with Risk Control by Stochastic Dominance; X.Yang, J.Gondzio & A.Grothey PART III: ALM MODELS APPLIED TO PENSION FUNDS 401K Pension Plans in the USA; F.Sortino Pensions, Covenants and Insurance; C.Keating Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand; S.S.Hussin, D.Roman, G.Mitra & W.K.W.Ahmad Dynamic Risk Management; S.Jarvis Turning Pension Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers; D.Blake, A.Cairns & K.Dowd Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans; J.M.Mulvey, W.C.Kim & Yi.Ma A Robust Optimization Approach to Pension Fund Management; G.Iyengar & A.K.C.Ma Alternative Decision Models for Liability Determined Investment; K.Schwaiger, C.Lucas & G.Mitra A Liability-Relative Drawdown Approach to Pension Asset Liability Management; A.Berkelaar & R.Kouwenberg ALM in Defined Contribution Pension: A Stochastic Model with reference to Auto Choice Portfolio in NPS in India; H.Sadhak & S.Doss PART IV: ALM MODELS APPLIED TO OTHER AREAS Planning for Retirement: Asset Liability Management for Individuals; M.A.H.Dempster & E.Medova The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management; D.DiBartolomeo Asset Liability Management in Private Wealth Management; N.Amenc, L.Martellini, V.Milhau & V.Ziemann PART VI: DIRECTORY OF ALM SERVICE PROVIDERS Company Details, Summary of Services and Products

Rezensionen

'Investors without liabilities don't need assets. This is the central message from this timely book that offers the best-in-class thinking from leading academics and practitioners in the field of Asset Liability Management. Anyone managing assets will need to read this book.' - Prof. Dr. Bernd Scherer, Professor of Finance, EDHEC Business School, London, UK

'The book provides an excellent overview on latest developments in quantitative methods for Asset Liability Management. The contributed articles particularly emphasize applicability aspects with traceable examples. It is a "must read" for everybody responsible for the solution of ALM modeling problems in the banking, insurance and pension fund industry.' - Prof. Dr. Karl Frauendorfer, Dean, School of Finance, University of St. Gallen, Switzerland

'This book is ideally timed. It collects together some of the best thinkers working in ALM currently, mixing leading edge academic work with practitioner insights. The focus by industry sector allows experts to enjoy comparing best practice in their own sectors with the frontiers of knowledge in allied disciplines. It also makes a valuable additional resource for trainee actuaries. For those less familiar with the subject, the format gives an appreciation of the range of innovation that ALM is driving across the financial sector.' - Nigel Masters, Immediate Past President, Institute and Faculty of Actuaries, UK