Cover image for Handbook of Asset and Liability Management

Handbook of Asset and Liability Management

Author Stavros A. Zenios , William T. Ziemba
Release Date: 2007/08/01
ISBN: 9780444528025
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Book 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.

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

Table of Contents

  1. Cover image
  2. Title page
  3. Table of Contents
  4. Introduction to the series
  5. Contents of the Handbook
  6. Preface
  7. Chapter 11 ALM in Banking
  8. Chapter 12 Dynamic Financial Analysis for Multinational Insurance Companies
  9. Chapter 13 Stochastic Programming Models for Strategic and Tactical Asset Allocation—a study from Norwegian life insurance
  10. Chapter 14 Design and Management of Unit-linked Life Insurance Contracts with Guarantees
  11. Chapter 15 The Prometeia Model for Managing Insurance Policies with Guarantees
  12. Chapter 16 Integrated Risk Control Using Stochastic Programming ALM Models for Money Management
  13. Chapter 17 Asset–Liability Management for Individual Investors
  14. Chapter 18 A Scenario Approach of ALM
  15. Chapter 19 The Russell-Yasuda Kasai, InnoALM and Related Models for pensions, insurance companies and high net worth individuals
  16. Chapter 20 Dynamic Asset and Liability Management for Swiss Pension Funds
  17. Chapter 21 Joined-Up Pensions Policy in the UK: An Asset–Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate
  18. Chapter 22 ALM Issues in Social Security
  19. Author Index
  20. Subject Index