Asset and Liability Management Handbook [electronic resource] /
Mitra, G.editor.
Schwaiger, K.editor.
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.
Cover; Half title; Title; Copyright; Contents; List of Illustrations; Foreword; About the Editors; Notes on Contributors; Chapter Abstracts; 1 Introduction; Part I ALM Models Applied to Banks; 2 Bank Asset-Liability and Liquidity Risk Management; 3 A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management; Part II ALM Models Applied to Insurance Companies; 4 Long-Term Interest Rates and Consol Bond Valuation; 5 Asset Liability Management Modelling with Risk Control by Stochastic Dominance; Part III ALM Models Applied to Pension Funds; 6 The 401(k) Retirement Income Risk
7 Pensions, Covenants and Insurance8 Employees' Provident Funds of Singapore, Malaysia, India and Sri Lanka: A Comparative Study; 9 Dynamic Risk Management:Optimal Investment with Risk Constraints; 10 Optimal Investment Strategies in Defined Contribution Pension Plans; 11 Duration-Enhancing Overlay Strategies for Defined Benefit Pension Plans; 12 A Robust Optimization Approach to Pension Fund Management; 13 Alternative Decision Models for Liability-Driven Investment; 14 A Liability-Relative Drawdown Approach to Pension Asset Liability Management
15 Asset-Liability Management in Defined Contribution Pensions: A Stochastic Model with reference to Auto Choice Portfolios in the New Pension System in IndiaPart IV ALM Models Applied to Other Areas of Financial Planning; 16 Planning for Retirement: Asset Liability Management for Individuals; 17 The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management; 18 Exploiting Asset-Liability Management Concepts in Private Wealth Management; 19 Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming
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Includes index.
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.
Investment banking.
Securities.
Business enterprises-Finance.
Accounting.
Bookkeeping .
Economics.
Management science.
Investments and Securities.
Business Finance.
Accounting/Auditing.
Economics, general.