Asset and Liability Management Handbook.

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Livre

Auteur : MITRA Gautam (Sous la dir.) ; SCHWAIGER Katharina (Sous la dir.)

Editeur : PALGRAVE MACMILLAN

Date : 2011

Pages : 515

Cote : 132.85-MITRA

Mots Clés : GESTION ACTIF PASSIF ; FONDS DE PENSION ; ASSURANCE SECTEUR ; MATHEMATIQUES FINANCIERES ; MODELE ; MANAGEMENT DU RISQUE ; AIDE A LA DECISION

Nbre d'exemplaires : 1

N°	Cote	Code barre	Commentaire
1			[disponible]

Commentaire :

ISBN 13 : 9780230277793

Sommaire : Contributors: Sarp Kaya Acar, Wan Kamaruzaman Wan Ahmad, Noël Amenc, Arjan Berkelaar, David Blake, Andrew Cairns, Moorad Choudhry, Michael Dempster, Dan diBartolomeo, Steward Doss, Kevin Dowd, Robert Ferstl, Jacek Gondzio, Andreas Grothey, David Hand, Siti Sheikh Hussin, Garud Iyengar, Stuart Jarvis, Con Keating, Woo Chang Kim, Ralf Korn, Roy Kouwenberg, Cormac Lucas, Alfred Ka Chun Ma, Yi Ma, Lionel Martellini, Elena Medova, Vincent Milhau, John M. Mulvey, Kalina Natcheva-Acar, Diana Roman, Hira Sadhak, Frank Sortino, Michael Villaverde, Alexander Weissensteiner, Jörg Wenzel, Xi Yang, Volker Ziemann.

1. Background and Overview of ALM Models

PART I: ALM models applied to banks

2. Bank Asset-Liability and Liquidity Risk Management
3. A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management

PART II: ALM models applied to insurance companies

4. Long-Term Interest Rates and Consol Bond Valuation
5. Asset-Liability Management Modelling with Risk Control by Stochastic Dominance

PART III: ALM models applied to pension funds

6. The 401K retirement income risk
7. Pensions, Covenants and Insurance
8. Employees Provident Funds of Singapore, Malaysia, India and Sri Lanka : a comparative study
9. Dynamic Risk Management: optimal investment with risk constraints
10. Optimal Investment Strategie in Defined Contribution Pension Plans
11. Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans
12. A Robust Optimization Approach to Pension Fund Management
13. Alternative Decision Models for Liability Driven Investment
14. A Liability-Relative Drawdown Approach to Pension Asset Liability Management
15. ALM in Defined Contribution Pension: A Stochastic Model with reference to Auto Choice Portfolio in New pension system in India

PART IV: ALM models applied to other areas of financial planning

16. Planning for Retirement: Asset Liability Management for Individuals
17. The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management
18. Exploiting Asset Liability Management concepts in Private Wealth Management
19. Backtesting short-term treasury management strategies based on multi-stage stochastic programming

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