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Asset and liability management handbook

Author: Gautam Mitra; Katharina Schwaiger; Palgrave Connect (Online service)
Publisher: New York : Palgrave Macmillan, 2011.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
In recent years, quantitative methods for asset and liability management strategies have developed and become more widely used. This handbook brings together state-of-the-art quantitative decision models for asset and liability management in respect of pension funds, insurance companies and banks. It takes into account new regulations and industry risks, covering new accounting standards for pension funds, solvency
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Asset and liability management handbook.
New York : Palgrave Macmillan, 2011
(DLC) 2011001649
(OCoLC)697979820
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Gautam Mitra; Katharina Schwaiger; Palgrave Connect (Online service)
ISBN: 9780230307230 023030723X
OCLC Number: 714086275
Description: 1 online resource
Contents: 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. Machine generated contents note: --
Background and Overview of ALM Models; G. Mitra & K. Schwaiger --
PART I: ALM MODELS APPLIED TO BANKS --
Banks Liquidity Risk Management and Reporting; M. Choudhry --
PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES --
Institutional ALM; M. Dempster --
ALM Models for Life Insurance in India; H. Sadhak --
PART III: ALM MODELS APPLIED TO PENSION FUNDS --
401K Pension Plans in the USA; F. Sortino --
Regulating Affecting Pension Funds, Their Asset Allocation and Structured Products; C. Keating --
Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand; S.S. Hussin & D. Roman --
ALM Models for Defined Contribution Schemes; Blake et al --
PART IV: ALM MODELS APPLIED TO OTHER AREAS --
Individual ALM; E. Medova --
Asset Allocation; D. DiBartolomeo --
Asset-Liability Management in Private Wealth Management; L. Martellini et al --
PART V: INDUSTRY INSIGHTS, TECHNOLOGY, PRODUCTS AND SERVICES --
Summary of Delta Product; BrightonRock Group --
Society Profile of the Securities and Investment Institute --
Company Profile of Cambridge Systems Associates --
Company Profile of Northfield Information Services --
PART VI: DIRECTORY OF ALM SERVICE PROVIDERS --
Company Details, Summary of Services and Products --
Bibliography.
Responsibility: [edited by] Gautam Mitra, Katharina Schwaiger.

Abstract:

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  Read more...

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'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 Read more...

 
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