Handbook of Asset and Liability Management
Applications and Case Studies
- Stavros A. Zenios, University of Cyprus, Nicosia, Cyprus/University of Pennsylvania, Philadelphia, PA, U.S.A.
- William Ziemba, University of British Columbia, Vancouver, Canada
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing.View full description
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.
- Published: July 2007
- Imprint: NORTH-HOLLAND
- ISBN: 978-0-444-52802-5
“A decade on, this two volume handbook is destined to replace its predecessor 'Worldwide Asset and Liability Modeling' as the standard reference work in the field.” M.A.H. Dempster University of Cambridge “This second volume of the 'Handbook of Asset and Liability Management' provides a fascinating and extensive view of how the Operations Research and Mathematical Finance tools, described in the first volume, can be exploited profitably by pension funds (including the government Social Security program), insurance companies, banks, major and individual investors. It might almost be unreasonable to be involved in portfolio management, the design of insurance policies or setting up a pension fund without a serious reading of this compendium.” Roger J-B Wets University of California, Davis "Once again the editors have put together a volume that both practitioners and academics can appreciate. This volume has the technical depth for all and the practical breadth to make it a popular resource." David Hobson Myers Lehigh University
Table of ContentsPrefaceA. BankingChapter 11ALM in bankingJean DermineB. InsuranceChapter 12Dynamic financial analysis for multinational insurance companies John M. Mulvey, Bill Pauling, Steven Britt, and François Morin Chapter 13Stochastic Programming Models for Strategic and Tactical Asset Allocation - a study from Norwegian life insuranceKjetil Høyland and Stein W. WallaceChapter 14Designing and management of unit-linked life insurance contracts with guaranteesRonald Hochreiter, Georg Pflug and Volkert PaulsenChapter 15The PROMETEIA Model for ManagingInsurance Policies with GuaranteesAndrea Consiglio, Flavio Cocco and Stavros A ZeniosC. Money ManagementChapter 16Integrated risk control using stochastic programming ALM models for money management Chanaka EdirisingheD. Individual Investor Financial PlanningChapter 17Asset-Liability Management for Individual InvestorsGiorgio ConsigliE. Pension FundsChapter 18A Scenario approach of ALMGuus Boender , Cees Dert, Fred Heemskerk & Henk HoekChapter 19The Russell Yasuda, InnoALM and related models for pensions, insurance companies and high net worth individualsWilliam T ZiembaChapter 20Dynamic Asset & Liability Managementfor Swiss Pension FundsGabriel Dondi, Florian Herzog,, Lorenz Schuman and Hans P. GeeringChapter 21Joined-Up Pensions Policy in the UK: An Asset-Liability Model for SimultaneouslyDetermining the Asset Allocation and Contribution RateJohn Board and Charles SutcliffeF. Social SecurityChapter 22ALM issues in social security Sandra L. Schwartz and William T. Ziemba