By Gautam Mitra, Katharina Schwaiger
Contemporary years have proven a rise in improvement and reputation of quantitative equipment for asset and legal responsibility administration thoughts. This booklet provides cutting-edge quantitative selection types for 3 sectors: pension money, insurance firms and banks, considering new laws and the industries dangers.
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Additional info for Asset and Liability Management Handbook
Integrated Chance Constraints in an ALM Model for Pension Funds. University of Groningen, University Library Groningen Host, The Netherlands, 2003. Winklevoss, H. E. ‘Plasm: pension liability and asset simulation model’. The Journal of Finance, 37(2):585–594, 1982. Zenios, S. A. ‘Asset/liability management under uncertainty for fixed-income securities’. Annals of Operations Research, 59(1):77–97, 1995. Zenios, S. A. Financial Optimization. Cambridge University Press, Cambridge, UK, 1996. Zenios, S.
Com - licensed to ETH Zuerich - PalgraveConnect - 2011-05-06 Gautam Mitra and Katharina Schwaiger Gautam Mitra and Katharina Schwaiger to bring you a balanced picture from both sides. The book is divided into five sections: the first three sections look at ALM applied to banks, insurance companies and pension funds. The fourth section gives insight into new application areas of ALM, namely for wealthy individuals and private wealth management. The last section is an ALM service provider directory, with companies stating their products, services, prices and contact details.
Com - licensed to ETH Zuerich - PalgraveConnect - 2011-05-06 Introduction 9 Gautam Mitra and Katharina Schwaiger Berkelaar and Kouwenberg address the question of asset allocation from an extremely novel perspective. They state that the goal of the investment policy should be to maximize expected excess returns over liabilities subject to an acceptable level of risk expressed relative to liabilities. Their asset allocation is based on drawdown risk optimization, and through simulation studies they show that their strategy leads to better downside protection.