Asset and Liability Management Handbook

1. Front Matter

   Pages i-xxxv

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2. Introduction

   1. Introduction

      • Gautam Mitra, Katharina Schwaiger

      Pages 1-12

3. ALM Models Applied to Banks

   1. Front Matter

      Pages 13-13

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   2. Bank Asset-Liability and Liquidity Risk Management

      • Moorad Choudhry

      Pages 15-61

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

      • Sarp Kaya Acar, Ralf Korn, Kalina Natcheva-Acar, Jörg Wenzel

      Pages 62-76

4. ALM Models Applied to Insurance Companies

   1. Front Matter

      Pages 77-77

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   2. Long-Term Interest Rates and Consol Bond Valuation

      • Michael Dempster, Elena Medova, Michael Villaverde

      Pages 79-109

   3. Asset Liability Management Modelling with Risk Control by Stochastic Dominance

      • Xi Yang, Jacek Gondzio, Andreas Grothey

      Pages 110-138

5. Alm Models Applied to Pension Funds

   1. Front Matter

      Pages 139-139

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   2. The 401(k) Retirement Income Risk

      • Frank Sortino, David Hand

      Pages 141-149

   3. Pensions, Covenants and Insurance

      • Con Keating

      Pages 150-180

   4. Employees’ Provident Funds of Singapore, Malaysia, India and Sri Lanka: a Comparative Study

      • Siti Sheikh Hussin, Gautam Mitra, Diana Roman, Wan Kamaruzaman, Wan Ahmad

      Pages 181-207

   5. Dynamic Risk Management: Optimal Investment with Risk Constraints

      • Stuart Jarvis

      Pages 208-233

   6. Optimal Investment Strategies in Defined Contribution Pension Plans

      • David Blake, Andrew Cairns, Kevin Dowd

      Pages 234-279

   7. Duration-Enhancing Overlay Strategies for Defined Benefit Pension Plans

      • John M. Mulvey, Woo Chang Kim, Yi Ma

      Pages 280-307

   8. A Robust Optimization Approach to Pension Fund Management

      • Garud Iyengar, Alfred Ka, Chun Ma

      Pages 308-330

   9. Alternative Decision Models for Liability-Driven Investment

      • Katharina Schwaiger, Cormac Lucas, Gautam Mitra

      Pages 331-351

   10. A Liability-Relative Drawdown Approach to Pension Asset Liability Management

       • Arjan Berkelaar, Roy Kouwenberg

       Pages 352-382

   11. 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

       Pages 383-406

6. ALM Models Applied to Other Areas of Financial Planning

   1. Front Matter

      Pages 407-407

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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.

• Investment
• management
• Pension Funds
• Portfolio
• risk management
• investments and securities

'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

• Brunel University, UK

  Gautam Mitra, Katharina Schwaiger

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.

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