Applications and case studies / edited by S.A. Zenios and W.T. Ziemba.

Format:

Book

Contributor:

Zenios, Stavros Andrea.

Ziemba, W. T.

Series:

Handbooks in finance ; bk. 2.

Handbooks in finance ; 2

Handbook of asset and liability management ; 2

Language:

English

Subjects (All):

Asset-liability management.

Asset-liability management--Mathematical models.

Physical Description:

1 online resource (685 p.)

Edition:

1st ed.

Other Title:

Asset and liability management

Applications and case studies

Place of Publication:

Amsterdam ; Boston : Elsevier : North-Holland, 2007.

Language Note:

English

System Details:

text file

Summary:

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth i

Contents:

Front cover; Applications and Case Studies; Copyright page; Introduction to the Series; Contents of the Handbook; Preface; Contents; Chapter 11. ALM in Banking; Abstract; Keywords; Introduction; 1. Economics of banking, five main functions; 2. The bank's balance sheet and income statement; 3. Risk management in banking; 4. Asset and liability modeling for banks; 5. Application I. Pricing loan and loan loss provisioning; 6. Application II. The measurement of interest rate and liquidity risks

7. Application III. Portfolio diversification, marginal risk contribution, and the allocation of economic capital8. Bank regulations; 9. Conclusion; Appendix A. The relevant maturity of the transfer price; Appendix B. Bank valuation, no tax-no growth; Appendix C. Bank valuation, the corporate tax case; Appendix D. Proof of marginal contribution formula; References; Chapter 12. Dynamic Financial Analysis for Multinational Insurance Companies; Abstract; Keywords; 1. Introduction to dynamic financial analysis; 2. Basic structure of a DFA system; 3. Applications of DFA

4. Capital allocation and decentralized risk management5. Conclusions and future work; Appendix A. Toolkit for constructing a DFA system; References; Chapter 13. Stochastic Programming Models for Strategic and Tactical Asset Allocation-a study from Norwegian life insurance; Abstract; 1. Introduction; 2. Motivation and model description; 3. Data collection, market expectations and scenario generation; 4. The impact of the TAA-model on the organization; 5. Experiences; 6. Conclusions; References; Chapter 14. Design and Management of Unit-linked Life Insurance Contracts with Guarantees; Abstract

Keywords1. Introduction; 2. Discrete-time modeling; 3. Continuous-time modeling; 4. Conclusion; References; Chapter 15. The Prometeia Model for Managing Insurance Policies with Guarantees; Abstract; Keywords; 1. Introduction; 2. The Italian insurance industry; 3. The scenario optimization model; 4. Model testing and validation; 5. Conclusions; Acknowledgements; Appendix A. Solving the nonlinear dynamic equations; Appendix B. Asset classes; References; Chapter 16. Integrated Risk Control Using Stochastic Programming ALM Models for Money Management; Abstract; Keywords; 1. Introduction

2. Multistage stochastic programming (MSP)3. Investment optimization model; 4. Portfolio risk metrics; 5. Multistage portfolio rebalancing model; 6. Model application; 7. Concluding remarks; Acknowledgement; References; Chapter 17. Asset-Liability Management for Individual Investors; Abstract; Keywords; 1. Introduction; 2. Individual ALM in practice; 3. ALM modeling for individual investors theory; 4. The individual investor stochastic programming model; 5. Problem generation and solution; 6. Conclusions and directions; Acknowledgements; Appendix A. Indiv ALM mathematical outline

Appendix B. Operational Research Systems Personal Financial PlannerTM

Notes:

Description based upon print version of record.

Includes bibliographical references and indexes.

ISBN:

9786611119850

9781281119858

1281119857

9780080548562

0080548563

OCLC:

437186442