Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presentsstate of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks. 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. 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. INDICE: Background and Overview of ALM Models;' G.Mitra' &' K.Schwaiger - 'PART I: ALM MODELS APPLIED TO BANKS - Bank Asset-Liability and Liquidity RiskManagement; '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 andConsol 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 PensionAsset 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 VI: DIRECTORY OF ALM SERVICE PROVIDERS - Company Details, Summary of Services and Products -
- ISBN: 978-0-230-27779-3
- Editorial: Palgrave Macmillan
- Encuadernacion: Cartoné
- Páginas: 552
- Fecha Publicación: 31/03/2011
- Nº Volúmenes: 1
- Idioma: Inglés