Asset and liability management handbook

著者

書誌事項

Asset and liability management handbook

edited by Gautam Mitra and Katharina Schwaiger

Palgrave Macmillan, 2011

大学図書館所蔵 件 / 全4件

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注記

Includes index

内容説明・目次

内容説明

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.

目次

  • 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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