Asset and liability management handbook:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Basingstoke [u.a.]
Palgrave Macmillan
2011
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes index. |
| Physical Description: | XXXV, 515 S. graph. Darst. |
| ISBN: | 9780230277793 |
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MARC
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| 245 | 1 | 0 | |a Asset and liability management handbook |c ed. by Gautam Mitra ... |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2011 | |
| 300 | |a XXXV, 515 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes index. | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Asset-liability management | |
| 650 | 4 | |a Asset-liability management |x Mathematical models | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Investments & Securities |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS / General |2 bisacsh | |
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Record in the Search Index
| _version_ | 1804148336546021376 |
|---|---|
| adam_text | Titel: Asset and liability management handbook
Autor: Mitra, Gautam
Jahr: 2011
Contents
List of Illustrations viii
Foreword xv
About the Editors xvi
Notes on Contributors xvii
Chapter Abstracts xxvii
1 Introduction 1
Gautam Mitra and Katharina Schwaiger
Part I ALM Models Applied to Banks
2 Bank Asset-Liability and Liquidity Risk Management 15
Moorad Choudhry
3 A Two-Factor HJM Interest Rate Model for
Use in Asset Liability Management 62
Sarp Kaya Acar, RalfKom, Kalina Natcheva-Acar and
Jbrg Wenzel
Part II ALM Models Applied to
Insurance Companies
4 Long-Term Interest Rates and Consol Bond Valuation 79
Michael Dempster, Elena Medova and
Michael Villaverde
5 Asset Liability Management Modelling with
Risk Control by Stochastic Dominance HO
Xi Yang, Jacek Gondzio and Andreas Grothey
Part III ALM Models Applied to
Pension Funds
6 The 401(k) Retirement Income Risk 141
Frank Sortino and David Hand
7 Pensions, Covenants and Insurance 150
Con Keating
8 Employees Provident Funds of Singapore, Malaysia,
India and Sri Lanka: A Comparative Study 181
Siti Sheikh Hussin, Gautam Mitra, Diana Roman and
Wan Kamaruzaman Wan Ahmad
9 Dynamic Risk Management: Optimal Investment with
Risk Constraints 208
Stuart Jarvis
10 Optimal Investment Strategies in Defined Contribution
Pension Plans 234
David Blake, Andrew Cairns and Kevin Dowd
11 Duration-Enhancing Overlay Strategies for
Defined Benefit Pension Plans 280
John M. Midvey, Woo Chang Kim and Yi Ma
12 A Robust Optimization Approach to
Pension Fund Management 308
Garud Iyengar and Alfred Ka Chun Ma
13 Alternative Decision Models for Liability-Driven
Investment 331
Katharina Schwaiger, Cormac Lucas and Gautam Mitra
14 A Liability-Relative Drawdown Approach to
Pension Asset Liability Management 352
Arjan Berkelaar and Roy Kouwenberg
15 Asset-Liability Management in Defined Contribution
Pensions: A Stochastic Model with reference to
Auto Choice Portfolios in the New Pension System in India 383
Hira Sadhak and Steward Doss
Part IV ALM Models Applied to Other
Areas of Financial Planning
16 Planning for Retirement: Asset Liability Management for
Individuals 409
Michael Dempster and Elena Medova
17 The Discretionary Wealth Hypothesis in
an Arbitrage-Free Term Structure Approach to
Asset-Liability Management 433
Dan diBartolomeo
18 Exploiting Asset-Liability Management Concepts in
Private Wealth Management 443
Noel Amenc, Lionel Martellini, Vincent Milhau and
Volker Ziemann
19 Backtesting Short-Term Treasury Management
Strategies Based on Multi-Stage Stochastic Programming 469
Robert Ferstl and Alexander Weissensteiner
Service Provider Directory 495
Axioma, Inc. 496
Barrie and Hibbert 497
Cambridge Systems Associates Limited 498
Cardano 499
The Chartered Institute for Securities Investment 500
d-fine GmbH 502
Ehrentreich LDI Consulting Research, LLC 504
Fraunhofer Institute for Industrial Mathematics ITWM 505
Institute for Operations Research and
Computational Finance of the University of St. Gallen 506
Northfield Information Services, Inc. 507
OptiRisk Systems 508
ORFIVAL 510
Pensions Institute 511
Redington Ltd 512
Index 513
|
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| id | DE-604.BV039526314 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:05:31Z |
| institution | BVB |
| isbn | 9780230277793 |
| language | English |
| lccn | 2011001649 |
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| physical | XXXV, 515 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| spelling | Asset and liability management handbook ed. by Gautam Mitra ... 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2011 XXXV, 515 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes index. Mathematisches Modell Wirtschaft Asset-liability management Asset-liability management Mathematical models BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Investments & Securities bisacsh BUSINESS & ECONOMICS / General bisacsh Mitra, Gautam Sonstige (DE-588)17069576X oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024378685&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Asset and liability management handbook Mathematisches Modell Wirtschaft Asset-liability management Asset-liability management Mathematical models BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Investments & Securities bisacsh BUSINESS & ECONOMICS / General bisacsh |
| title | Asset and liability management handbook |
| title_auth | Asset and liability management handbook |
| title_exact_search | Asset and liability management handbook |
| title_full | Asset and liability management handbook ed. by Gautam Mitra ... |
| title_fullStr | Asset and liability management handbook ed. by Gautam Mitra ... |
| title_full_unstemmed | Asset and liability management handbook ed. by Gautam Mitra ... |
| title_short | Asset and liability management handbook |
| title_sort | asset and liability management handbook |
| topic | Mathematisches Modell Wirtschaft Asset-liability management Asset-liability management Mathematical models BUSINESS & ECONOMICS / Finance bisacsh BUSINESS & ECONOMICS / Investments & Securities bisacsh BUSINESS & ECONOMICS / General bisacsh |
| topic_facet | Mathematisches Modell Wirtschaft Asset-liability management Asset-liability management Mathematical models BUSINESS & ECONOMICS / Finance BUSINESS & ECONOMICS / Investments & Securities BUSINESS & ECONOMICS / General |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024378685&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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