Handbook of Asset and Liability Management

Handbook of Asset and Liability Management

Applications and Case Studies

First published on July 11, 2007

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  • Editors: Stavros A. Zenios, William Ziemba
  • eBook ISBN: 9780080548562

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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.

Key Features

* Focuses on pragmatic applications
* Relevant to a variety of risk-management industries
* Analyzes models used in most financial sectors

Readership

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.

Table of 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 François Morin

    Chapter 13
    Stochastic Programming Models for Strategic and Tactical Asset Allocation -
    a study from Norwegian life insurance
    Kjetil Høyland 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

Product details

  • No. of pages: 684
  • Language: English
  • Copyright: © North Holland 2007
  • Published: July 11, 2007
  • Imprint: North Holland
  • eBook ISBN: 9780080548562

About the Editors

Stavros A. Zenios

Affiliations and Expertise

University of Cyprus, Nicosia, Cyprus/University of Pennsylvania, Philadelphia, PA, U.S.A.

William Ziemba

Affiliations and Expertise

University of British Columbia, Vancouver, Canada

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