Liability hedging and portfolio choice:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
2005
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 265 S. graph. Darst. |
| ISBN: | 1904339662 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
About the Author vii
Introduction ix
1 Actuarial Foundations 1
This chapter will review actuarial techniques to evaluate the value of
pension liabilities. It serves as a starting point for later chapters and
demystifies actuarial mathematics.
2 Valuation of Pension Claims 27
In this chapter the reader will be introduced to key valuation principles
in financial economics as they apply to pension liabilities.
3 Hedging Corporate Liabilities: In Search for the Liability Asset 65
The best way to hedge liability cashflows is to use the replicating
assets. However this is sometimes not desired or feasible. The tech¬
niques in this chapter will try to find the best possible hedge, knowing
that real-life replication is often imperfect and involves the hedging of
interest rate exposures.
4 Liabilities and Portfolio Theory 127
This chapter deals with asset-liability management as it is taught in
asset-management classes. More precisely, we define asset-liabilitv man¬
agement as the derivation of optimal asset-allocation policies relative to
a set of exogenously defined liabilities that relv on risk premiums antl
risk preferences trading off expected surplus risk ami surplus return.
5 Theory of the Firm zwrsus Portfolio Theory 177
This chapter will argue that the optimal asset allocation tor extrrnallv
financed pension obligations cannot be answered bv looking ,it the
pension fund in isolation.
6 External Asset Allocation in a Contingent Claims Framework 229
This chapter will show that funding affects other debtlike claims bv shift¬
ing seniority towards pension beneficiaries. This is in stark contrast to the
rating agencies that ignore the seniority shift, as thev do not take into
account the value of contingent claims that arise from outside funding.
Index 261
|
| any_adam_object | 1 |
| author | Scherer, Bernd |
| author_facet | Scherer, Bernd |
| author_role | aut |
| author_sort | Scherer, Bernd |
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| building | Verbundindex |
| bvnumber | BV025403110 |
| classification_rvk | QK 800 |
| ctrlnum | (OCoLC)255146538 (DE-599)BVBBV025403110 |
| dewey-full | 332.67254 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.67254 |
| dewey-search | 332.67254 |
| dewey-sort | 3332.67254 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T22:33:37Z |
| institution | BVB |
| isbn | 1904339662 |
| language | English |
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| physical | XV, 265 S. graph. Darst. |
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| spelling | Scherer, Bernd Verfasser aut Liability hedging and portfolio choice by Bernd Scherer London Risk Books 2005 XV, 265 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020025183&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Scherer, Bernd Liability hedging and portfolio choice |
| title | Liability hedging and portfolio choice |
| title_auth | Liability hedging and portfolio choice |
| title_exact_search | Liability hedging and portfolio choice |
| title_full | Liability hedging and portfolio choice by Bernd Scherer |
| title_fullStr | Liability hedging and portfolio choice by Bernd Scherer |
| title_full_unstemmed | Liability hedging and portfolio choice by Bernd Scherer |
| title_short | Liability hedging and portfolio choice |
| title_sort | liability hedging and portfolio choice |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020025183&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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