Volume 2. Handbook of Asset and Liability Management

1st Edition

Applications and Case Studies

Editors:

  • William Ziemba
  • Stavros A. Zenios
  • Handbook of Asset and Liability Management

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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

    Details

    No. of pages:
    684
    Language:
    English
    Copyright:
    © 2007
    Published:
    Imprint:
    North Holland
    Print ISBN:
    9780444528025
    Electronic ISBN:
    9780080548562

    Reviews

    “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