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Handbook of Asset and Liability Management
Applications and Case Studies
1st Edition, Volume 2 - July 11, 2007
Editors: Stavros A. Zenios, William T. Ziemba
Language: English
Hardback ISBN:9780444528025
9 7 8 - 0 - 4 4 4 - 5 2 8 0 2 - 5
eBook ISBN:9780080548562
9 7 8 - 0 - 0 8 - 0 5 4 8 5 6 - 2
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…Read more
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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.
* Focuses on pragmatic applications * Relevant to a variety of risk-management industries * Analyzes models used in most financial sectors
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.
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
No. of pages: 684
Language: English
Edition: 1
Volume: 2
Published: July 11, 2007
Imprint: North Holland
Hardback ISBN: 9780444528025
eBook ISBN: 9780080548562
SZ
Stavros A. Zenios
Affiliations and expertise
University of Cyprus, Nicosia, Cyprus/University of Pennsylvania, Philadelphia, PA, U.S.A.