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Handbook of Asset and Liability Management
 
 

Handbook of Asset and Liability Management, 1st Edition

Applications and Case Studies

 
Handbook of Asset and Liability Management, 1st Edition,Stavros A. Zenios,William Ziemba,ISBN9780444528025
 
 
 

Zenios   &   Ziemba   

North Holland

9780444528025

9780080548562

684

240 X 165

An accurate, self-contained, survey detailing the latest findings in Asset and Liability Management

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Key Features

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

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.

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.

Stavros A. Zenios

Affiliations and Expertise

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

View additional works by Stavros A. Zenios

William Ziemba

Affiliations and Expertise

University of British Columbia, Vancouver, Canada

View additional works by William T. Ziemba

Handbook of Asset and Liability Management, 1st Edition

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

Quotes and 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
 
 

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