'Investors without liabilities don't need assets. This is the central message from this timely book that offers the best in class thinking from leading academics and practitioners in the field of asset liability management. Anyone managing assets will need to read this book.'

Prof. Bernd Scherer, EDHEC Business School Member of EDHEC Risk Board Member London Quant Group, UK.

In recent years, quantitative methods for asset and liability management strategies have developed and become more widely used. This handbook brings together state-of-the-art quantitative decision models for asset and liability management in respect of pension funds, insurance companies and banks. It takes into account new regulations and industry risks, covering new accounting standards for pension funds, solvency II implementation for insurance companies and Basel II accord for banks. Written by leading experts in the field, practitioners as well as academics, the book will be an indispensable guide for quantitative and professional executives concerned with managing assets and liabilities.

Contents:

Background and Overview of ALM Models: G.Mitra & K.Schwaiger

• PART I:ALM MODELS APPLIED TO BANKS
  • Bank Asset-Liability and Liquidity Risk Management; M.Choudhry
  • A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management; S,K.Acar, R.Korn, K.Natcheva-Acar & J.Wenzel
• PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES
  • Long-Term Interest Rates and Consol Bond Valuation; E.Medova, M.Dempster & M.Villaverde
  • Asset-Liability Management Modelling with Risk Control by Stochastic Dominance; X.Yang, J.Gondzio & A.Grothey
• PART III: ALM MODELS APPLIED TO PENSION FUNDS
  • 401K Pension Plans in the USA; F.Sortino
  • Pensions, Covenants and Insurance; C.Keating
  • Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand; S.S.Hussin, D.Roman, G.Mitra & W.K.W.Ahmad
  • Dynamic Risk Management; S.Jarvis
  • Turning Pension Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers; D.Blake, A.Cairns & K.Dowd
  • Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans; J.M.Mulvey, W.C.Kim & Yi.Ma
  • A Robust Optimization Approach to Pension Fund Management; G.Iyengar & A.K.C.Ma
  • Alternative Decision Models for Liability Determined Investment; K.Schwaiger, C.Lucas & G.Mitra
  • A Liability-Relative Drawdown Approach to Pension Asset Liability Management; A.Berkelaar & R.Kouwenberg
  • ALM in Defined Contribution Pension: A Stochastic Model with reference to Auto Choice Portfolio in NPS in India; H.Sadhak & S.Doss
• PART IV: ALM MODELS APPLIED TO OTHER AREAS
  • Planning for Retirement: Asset Liability Management for Individuals; M.A.H.Dempster & E.Medova
  • The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management; D.DiBartolomeo
  • Asset Liability Management in Private Wealth Management; N.Amenc, L.Martellini, V.Milhau & V.Ziemann
• PART V: DIRECTORY OF ALM SERVICE PROVIDERS
  • Company Details, Summary of Services and Products

Prof. Gautam Mitra is Distinguished Professor and Director of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, UK. He is internationally renowned for his research in the field of Operational Research, in particular computational optimisation and modelling.

Dr. Katharina Schwaiger is Knowledge Transfer Partnership post-Doc Associate at CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University, UK.

Published on December 2010     Hardback     ISBN: 978-0-230-27779-3

Price: £125.00

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