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| HANDBOOK OF ASSET AND LIABILITY MANAGEMENT, 2
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Applications and Case Studies
To order this title, and for more information, click here
Edited By
Stavros A. Zenios, University of Cyprus, Nicosia, Cyprus/University of Pennsylvania, Philadelphia, PA, U.S.A.
William Ziemba, University of British Columbia, Vancouver, Canada
Included in series
Handbooks in Finance,
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.
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.
Audience
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.
Contents
Preface
A. Banking
Chapter 11
ALM in banking
Jean Dermine
B. Insurance
Chapter
12
Dynamic financial analysis for multinational insurance companies
John M. Mulvey, Bill Pauling, Steven Britt, and Fran ois Morin
Chapter 13
Stochastic Programming Models for Strategic and Tactical Asset Allocation -
a study from Norwegian life insurance
Kjetil H yland and Stein W. Wallace
Chapter 14
Designing and management of unit-linked life insurance contracts with guarantees
Ronald Hochreiter, Georg Pflug and Volkert Paulsen
Chapter 15
The PROMETEIA Model for Managing
Insurance Policies with Guarantees
Andrea Consiglio, Flavio Cocco and Stavros A Zenios
C. Money Management
Chapter 16
Integrated risk control
using stochastic programming ALM models for money management
Chanaka Edirisinghe
D. Individual Investor Financial Planning
Chapter 17
Asset-Liability Management for Individual Investors
Giorgio Consigli
E. Pension Funds
Chapter
18
A Scenario approach of ALM
Guus Boender , Cees Dert, Fred Heemskerk & Henk Hoek
Chapter 19
The Russell Yasuda, InnoALM
and related models for pensions, insurance companies and high net worth individuals
William T Ziemba
Chapter 20
Dynamic Asset & Liability Management
for Swiss Pension Funds
Gabriel Dondi, Florian Herzog,, Lorenz Schuman and Hans P. Geering
Chapter 21
Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously
Determining the Asset Allocation and Contribution Rate
John Board and Charles Sutcliffe
F. Social Security
Chapter 22
ALM issues in social security
Sandra L.
Schwartz and William T. Ziemba
| Bibliographic details |
Hardbound, 684 pages, publication date: JUL-2007
ISBN-13: 978-0-444-52802-5
ISBN-10: 0-444-52802-4
Imprint: NORTH-HOLLAND
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| Price and Ordering |
Price:
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USD 149.95
EUR 122.95
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Last update: 25 Nov 2009
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