Mitra, Gautam

Asset and Liability Management Handbook

Mitra, Gautam - Asset and Liability Management Handbook, ebook


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ISBN: 9780230307230
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Table of contents

1. Introduction
Gautam Mitra, Katharina Schwaiger

Part I. ALM Models Applied to Banks

2. Bank Asset-Liability and Liquidity Risk Management
Moorad Choudhry

3. A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management
Sarp Kaya Acar, Ralf Korn, Kalina Natcheva-Acar, Jörg Wenzel

Part II. ALM Models Applied to Insurance Companies

4. Long-Term Interest Rates and Consol Bond Valuation
Michael Dempster, Elena Medova, Michael Villaverde

5. Asset Liability Management Modelling with Risk Control by Stochastic Dominance
Xi Yang, Jacek Gondzio, Andreas Grothey

Part III. Alm Models Applied to Pension Funds

6. The 401(k) Retirement Income Risk
Frank Sortino, David Hand

7. Pensions, Covenants and Insurance
Con Keating

8. Employees’ Provident Funds of Singapore, Malaysia, India and Sri Lanka: a Comparative Study
Siti Sheikh Hussin, Gautam Mitra, Diana Roman, Wan Kamaruzaman, Wan Ahmad

9. Dynamic Risk Management: Optimal Investment with Risk Constraints
Stuart Jarvis

10. Optimal Investment Strategies in Defined Contribution Pension Plans
David Blake, Andrew Cairns, Kevin Dowd

11. Duration-Enhancing Overlay Strategies for Defined Benefit Pension Plans
John M. Mulvey, Woo Chang Kim, Yi Ma

12. A Robust Optimization Approach to Pension Fund Management
Garud Iyengar, Alfred Ka, Chun Ma

13. Alternative Decision Models for Liability-Driven Investment
Katharina Schwaiger, Cormac Lucas, Gautam Mitra

14. A Liability-Relative Drawdown Approach to Pension Asset Liability Management
Arjan Berkelaar, Roy Kouwenberg

15. Asset-Liability Management in Defined Contribution Pensions: A Stochastic Model with reference to Auto Choice Portfolios in the New Pension System in India
Hira Sadhak, Steward Doss

Part IV. ALM Models Applied to Other Areas of Financial Planning

16. Planning for Retirement: Asset Liability Management for Individuals
Michael Dempster, Elena Medova

17. The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management
Dan diBartolomeo

18. Exploiting Asset-Liability Management Concepts in Private Wealth Management
Noël Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann

19. Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming
Robert Ferstl, Alexander Weissensteiner

Keywords: Finance, Investments and Securities, Business Finance, Accounting/Auditing, Economics, general

Publication year
Page amount
550 pages
Printed ISBN

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