Asset and Liability Management Handbook

Editors: Mitra, G., Schwaiger, K. (Eds.)

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  • ISBN 978-0-230-30723-0
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Hardcover $240.00
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Softcover $230.00
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About this book

Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.

About the authors

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.

Reviews

'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. Dr. Bernd Scherer, Professor of Finance, EDHEC Business School, London, UK

'The book provides an excellent overview on latest developments in quantitative methods for Asset Liability Management. The contributed articles particularly emphasize applicability aspects with traceable examples. It is a "must read" for everybody responsible for the solution of ALM modeling problems in the banking, insurance and pension fund industry.' - Prof. Dr. Karl Frauendorfer, Dean, School of Finance, University of St. Gallen, Switzerland

'This book is ideally timed. It collects together some of the best thinkers working in ALM currently, mixing leading edge academic work with practitioner insights. The focus by industry sector allows experts to enjoy comparing best practice in their own sectors with the frontiers of knowledge in allied disciplines. It also makes a valuable additional resource for trainee actuaries. For those less familiar with the subject, the format gives an appreciation of the range of innovation that ALM is driving across the financial sector.' - Nigel Masters, Immediate Past President, Institute and Faculty of Actuaries, UK


Table of contents (19 chapters)

Table of contents (19 chapters)
  • Introduction

    Pages 1-12

    Mitra, Gautam (et al.)

  • Bank Asset-Liability and Liquidity Risk Management

    Pages 15-61

    Choudhry, Moorad

  • A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management

    Pages 62-76

    Acar, Sarp Kaya (et al.)

  • Long-Term Interest Rates and Consol Bond Valuation

    Pages 79-109

    Dempster, Michael (et al.)

  • Asset Liability Management Modelling with Risk Control by Stochastic Dominance

    Pages 110-138

    Yang, Xi (et al.)

Buy this book

eBook $179.00
price for USA in USD
  • ISBN 978-0-230-30723-0
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $240.00
price for USA in USD
Softcover $230.00
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
Asset and Liability Management Handbook
Editors
  • G. Mitra
  • K. Schwaiger
Copyright
2011
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-0-230-30723-0
DOI
10.1057/9780230307230
Hardcover ISBN
978-0-230-27779-3
Softcover ISBN
978-1-349-32573-3
Edition Number
1
Number of Pages
XXXV, 515
Topics