Download or read book Asset Liability Integration written by Krzysztof M. Ostaszewski and published by . This book was released on 2002-05 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Integration of Credit Risk with Market Risk in Asset Liability Management written by Shumpei Okada and published by . This book was released on 1989 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Sovereign Asset Liability Management Guidance for Resource Rich Economies written by International Monetary Fund and published by International Monetary Fund. This book was released on 2014-11-06 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ample natural resource revenues create both opportunities and challenges for a sovereign to transform its natural resources into well-managed financial assets. Hence, inter-temporal smoothing of revenue and consumption/investment moves to the center stage of macroeconomic policies. The questions arising from natural resource wealth accumulation are becoming more pressing for many countries, given the need to achieve intergenerational equity in a context where commodity prices may not continue their upward trajectory of the past decade. Addressing these questions requires a flexible sovereign asset-liability management (SALM) framework that integrates various macroeconomic and financial trade-offs with the aim of containing financial risk to the sovereign balance sheet. The framework and policy advice aims to guide policymakers across different institutions in weighing those trade-offs.

Download or read book Integration of Credit Risk with Arket Risk in Asset Liability Management written by Shumpei Okada and published by . This book was released on 1996 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Integrated Asset Liability Modelling for Property Casuality Insurance written by Ivica Duš and published by . This book was released on 2001 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Embedded Options and Integrated Asset Liability Management for Life Insurance written by Gabriele Susinno and published by . This book was released on 2004 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we describe life insurance contracts as a portfolio of financial options. This type of policy constitutes the bulk of mathematical reserves of continental European insurance companies. A close examination of a typical contract reveals an exchange of options between policy holders and the Insurance company whereby the former is long a floor option (the minimum guaranteed return) on the fund and short a call on the fund excess return relative to the floor. From an insurance company's point of view, this amounts to holding a portfolio of financial options vis-a-vis the client (the most common types of options included in Insurance contracts are the standard European and cliquet with European exercise options). This framework can be successfully used to support strategic decisions at a firm-wide level: return on risk capital, product design and innovation, risk management, asset benchmark selection and hedging strategies.

Download or read book Worldwide Asset and Liability Modeling written by William T. Ziemba and published by Cambridge University Press. This book was released on 1998-11-12 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.

Download or read book The integration of derivatives into asset and liability management written by Thomas Fascina and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset and Liability Management for Banks and Insurance Companies written by Marine Corlosquet-Habart and published by John Wiley & Sons. This book was released on 2015-08-05 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.

Download or read book Handbook of Asset and Liability Management written by Alexandre Adam and published by John Wiley & Sons. This book was released on 2008-03-11 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.

Download or read book Stress Testing and Risk Integration in Banks written by Tiziano Bellini and published by Academic Press. This book was released on 2016-11-26 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements Follows an integrated bottom-up approach central in the most advanced risk modelling practice Provides numerous sample codes in Matlab and R

Download or read book Asset Liability Management written by T. Ravi Kumar and published by . This book was released on 2005-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The face of Indian financial sector changed forever with the initiation of economic reforms in 1991. Deregulation and integration has led Indian banks and financial institutions into competition both on the assets side as well as the liabilities side of the balance sheet, forcing them to assume greater and newer risks in their quest for higher returns. Accordingly, the need for bankers to be familiar with the risks to which they are exposed and the tools available for managing such risks assumes vital significance. The US savings and loan crisis in the early 1980s and the Asian crisis of the late 1990s strongly underscored the dangers confronting banks and financial institutions which choose to ignore the implications of interest rate risk and liquidity risk. Asset-liability management (ALM) provides a macro-level framework and a sophisticated tool for modern risk management in banks. This is an authoritative work on the fundamentals of ALM. The book commences with an introduction to the types of risks confronting banks and goes on to describe the concept, rationale and implementation of asset-liability management

Download or read book A Path Integral Approach to Asset Liability Management written by Marc Decamps and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Functional integrals constitute a powerful tool in the investigation of financial models. In the recent econophysics literature, this technique was successfully used for the pricing of a number of derivative securities. In the present contribution, we introduce this approach to the field of asset-liability management. We work with a representation of cash flows by means of a two-dimensional delta-function perturbation, in the case of a Brownian model and a geometric Brownian model. We derive closed-form solutions for a finite horizon ALM policy. The results are numerically and graphically illustrated.

Download or read book Asset liability Management written by Jerry Hartzog and published by . This book was released on 1983 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2007-08-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope

Download or read book An Integrated Approach to Asset liability Management written by Lionel Martellini and published by . This book was released on 2011 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This study paper is an attempt to analyse the valuation of pension liabilities, regarded as defaultable claims issued by the sponsor company to workers and pensioners, in the context of a structural intertemporal capital structure model with contingent contributions. It provides a first step towards a much-needed methodological framework for the design of firm-specific regulatory constraints and accounting valuation principles. It also has a number of implications in terms of investment decisions at the pension fund level, and funding decisions at the sponsor company level."- -Foreword.