| 紀錄類型: |
書目-電子資源
: 單行本
|
| 合作者: |
MitraGautam., |
| 合作者: |
SchwaigerKatharina, 1983- |
| 其他團體作者: |
Palgrave Connect (Online service) |
| 出版地: |
New York |
| 出版者: |
Palgrave Macmillan; |
| 出版年: |
2011 |
| 面頁冊數: |
1 online resource. |
| 標題: |
Asset-liability management. - |
| 標題: |
Asset-liability management - Mathematical models. - |
| 標題: |
Business. - |
| 標題: |
BUSINESS & ECONOMICS - Finance. - |
| 標題: |
BUSINESS & ECONOMICS - Investments & Securities. - |
| 標題: |
BUSINESS & ECONOMICS - General. - |
| 電子資源: |
http://www.palgraveconnect.com/doifinder/10.1057/9780230307230An electronic book accessible through the World Wide Web; click for information |
| 附註: |
Includes index. |
| 摘要註: |
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. |
| ISBN: |
9780230307230electronic bk. |
| ISBN: |
023030723Xelectronic bk. |
| ISBN: |
1283097257 |
| ISBN: |
9781283097253 |
| 內容註: |
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 Dyclmic 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 VI: DIRECTORY OF ALM SERVICE PROVIDERS Company Details, Summary of Services and Products. Machine generated contents note: Background and Overview of ALM Models; G. Mitra & K. Schwaiger PART I: ALM MODELS APPLIED TO BANKS Banks Liquidity Risk Management and Reporting; M. Choudhry PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES Institutional ALM; M. Dempster ALM Models for Life Insurance in India; H. Sadhak PART III: ALM MODELS APPLIED TO PENSION FUNDS 401K Pension Plans in the USA; F. Sortino Regulating Affecting Pension Funds, Their Asset Allocation and Structured Products; C. Keating Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand; S.S. Hussin & D. Roman ALM Models for Defined Contribution Schemes; Blake et al PART IV: ALM MODELS APPLIED TO OTHER AREAS Individual ALM; E. Medova Asset Allocation; D. DiBartolomeo Asset-Liability Management in Private Wealth Management; L. Martellini et al PART V: INDUSTRY INSIGHTS, TECHNOLOGY, PRODUCTS AND SERVICES Summary of Delta Product; BrightonRock Group Society Profile of the Securities and Investment Institute Company Profile of Cambridge Systems Associates Company Profile of Northfield Information Services PART VI: DIRECTORY OF ALM SERVICE PROVIDERS Company Details, Summary of Services and Products Bibliography. |