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Author : Yesim Tokat
Publisher :
ISBN 13 :
Total Pages : 304 pages
Book Rating : 4.:/5 (519 download)
Download or read book Essays on Asset Allocation and Asset/liability Management written by Yesim Tokat and published by . This book was released on 2002 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lidia Bolla
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (944 download)
Download or read book Essays on Asset Management and Asset Liability Management written by Lidia Bolla and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Florian Klein
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
Download or read book Essays on Asset Liability Management and Policyholders' Willingness to Pay written by Florian Klein and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Frederik Schrager
Publisher : Rozenberg Publishers
ISBN 13 : 9051709455
Total Pages : 195 pages
Book Rating : 4.0/5 (517 download)
Download or read book Essays on asset liabilty modelling written by David Frederik Schrager and published by Rozenberg Publishers. This book was released on 2007 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Essays on Asset and Liability Management Analysis written by and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas Berry-Stölzle
Publisher :
ISBN 13 :
Total Pages : 152 pages
Book Rating : 4.:/5 (718 download)
Download or read book Asset Liability Management and Underwriting Cycles written by Thomas Berry-Stölzle and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas Berry-Stölzle
Publisher :
ISBN 13 :
Total Pages : 152 pages
Book Rating : 4.:/5 (723 download)
Download or read book Asset Liability Management and Underwriting Circles written by Thomas Berry-Stölzle and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William T. Ziemba
Publisher : Cambridge University Press
ISBN 13 : 9780521571876
Total Pages : 688 pages
Book Rating : 4.5/5 (718 download)
Download or read book Worldwide Asset and Liability Modeling written by William T. Ziemba and published by Cambridge University Press. This book was released on 1998-11-12 with total page 688 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Author : Beata Lubinska
Publisher : John Wiley & Sons
ISBN 13 : 1119635489
Total Pages : 244 pages
Book Rating : 4.1/5 (196 download)
Download or read book Asset Liability Management Optimisation written by Beata Lubinska and published by John Wiley & Sons. This book was released on 2020-04-20 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book. ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM. A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position Detailed examinations of interest rate risk in the banking book (IRRBB) Discussion of Basel III regulatory requirements and maturity gap analysis Overview of customer behavior, along with its impact on interest rate and liquidity risk Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits) Explorations of model risk, sensitivity analysis, and case studies The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.
Author : Jerry Hartzog
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 ( download)
Download or read book Asset/liability Management written by Jerry Hartzog and published by . This book was released on 1983 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : FinanceTrainingCourse.com
ISBN 13 :
Total Pages : 185 pages
Book Rating : 4./5 ( download)
Download or read book Asset Liability Management. 3rd Edition written by and published by FinanceTrainingCourse.com. This book was released on 2014-08-05 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins with a description of how the revenue generation mechanism of a bank works. Asset liability management (ALM) and associated interest rate and liquidity risks are defined and other measures such as duration and convexity are calculated. In order to understand the various yield curve shapes, shifts and outlooks, a review of the historical US yield term structures is conducted. This is followed by a look at various ALM strategies, in view of future expected interest rate outlooks, and their impact on the maturity distributions of assets & liabilities of banks. Next, the various assumptions used in an ALM model are assessed, followed by an explanation of price and rate gaps with some basic illustrations to understand the concepts of net interest income at risk and market value at risk. ALM reports profile cash flows by maturity or reset buckets. A methodology for building maturity and liquidity profiles for banks’ advances and deposits portfolios using the Pivot table & chart functionality in EXCEL is discussed. Step by step methodologies for various ALM measurement tools follow. These include Fall in Market Value of Equity, Earnings at Risk, Cost to Close liquidity gap, Cost to Close interest rate gap, Rate Sensitive Gap, Duration Gap. An overview of other ALM reports such as price sensitive gap, net interest income (NII) and liquidity gap is given. Applications for explaining immunization and portfolio dedication are presented. An EXCEL Solver based fixed income portfolio optimization model is discussed and scenarios for minimizing duration and maximizing convexity of the portfolio are presented. A discussion of liquidity risk management measures including ratios and analyses for measuring liquidity risk, limits for managing the risk, general and specific requirements for developing a contingency funding plan and liquidity enhancement tactics for company specific and systemic crisis. A methodology for stress testing liquidity using a Value at Risk (VaR) based approach for a fixed income portfolio is also discussed. The book concludes with a case-study for assessing why bank regulations fail. This simulation results based study looks at the efficacy of Capital Adequacy Ratio (CAR) as an indicator of bank performance and seeks to identify a more valuable leading indicator or target account for monitoring bank performance and health.
Author : Daniel Kolp
Publisher :
ISBN 13 :
Total Pages : 163 pages
Book Rating : 4.:/5 (897 download)
Download or read book Three Essays on Bank Asset and Liability Management written by Daniel Kolp and published by . This book was released on 2014 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pooya Farahvash
Publisher : John Wiley & Sons
ISBN 13 : 1119701910
Total Pages : 1056 pages
Book Rating : 4.1/5 (197 download)
Download or read book Asset-Liability and Liquidity Management written by Pooya Farahvash and published by John Wiley & Sons. This book was released on 2020-05-26 with total page 1056 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry. The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The fundamentals of analytical finance Detailed explanations of financial valuation models for a variety of products The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds transfer pricing A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.
Author : Fu-wei Huang
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.:/5 (12 download)
Download or read book Three Essays on Asset Management of Life Insurer Behavior written by Fu-wei Huang and published by . This book was released on 2020 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the dissertation, we develop a contingent model to evaluate the equity of a life insurer. The dissertation complements the literature about the insurer's asset-liability matching management in three aspects: credit swap transaction, sunflower behavior, and chief executive officer (CEO) overconfidence. The common base of the research approach is based on a contingent claim analysis. The main assumptions of the three issues are, respectively, (i) the invested-asset market and the life insurance market faced by the insurer are assumed imperfectly competitive and a down-and-out call option is developed for the issue of the linkage between insurer behavior and credit swap transaction; (ii) the invested-asset market is assumed to be imperfectly competitive and a utility function based on the standard call option is developed to discuss the sunflower behavior in life insurance management; and (iii) both the invested-asset and life insurance markets are imperfectly competitive and a down-and-out call option is employed to analyze the issue of CEO overconfidence and shadow insurance. The main findings are summarized as follows, respectively. (i) Chapter 2 complements the insurance literature by analyzing how the effects of credit swap transactions on insurer spread behavior and policyholder protection, and how they might differ across various degrees of capital regulation, premature default risk and profit-sharing participation. We find that the policyholder is protected when the insurer as a protection seller benefits risk-taking compensation. (ii) Chapter 3 is the first one to develop a contingent claim model to evaluate the value of the CEO's utility function defined as the like of higher equity return and the dislike of higher equity risk to please the board. The CEO's sunflower aptitude yields lower board utility and makes the CEO more prudent to risk-taking at an increased interest margin for the provision of life insurance policies. (iii) Chapter 4 contributes to the literature on overconfidence behavior by linking shadow insurance and the government's bailout during a financial crisis. We show that there is an efficiency gain from CEO overconfidence to investment and government bailout helps insurer survival. In conclusion, it is shown that the contingent claim approach is intimately relevant to the following three issues in the dissertation: credit swap transaction, sunflower management, and CEO overconfidence.
Author : Bob Swarup
Publisher : Bloomsbury Publishing
ISBN 13 : 1849300585
Total Pages : 224 pages
Book Rating : 4.8/5 (493 download)
Download or read book Asset–Liability Management for Financial Institutions written by Bob Swarup and published by Bloomsbury Publishing. This book was released on 2012-05-24 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Effective asset-liability management (ALM) of a financial institution requires making informed strategic and operational decisions. Ever more important in the wake of the corporate bailouts and collapses of the financial crisis, ALM encompasses the formulation, implementation, monitoring, and revision of strategies, often on a daily basis due to the fast-moving nature of the related risks and constraints. This approachable book features up-to-date practitioner and academic perspectives to provide you with the knowledge you need. Key foundation information is backed up by the latest research and thought leadership to form a comprehensive guide to ALM for today and into the future, with case studies and worked examples. Detailed coverage includes: * Successful risk management frameworks * Coherent stress-testing * Modeling market risk * Derivatives and ALM * Contingency funding to manage liquidity risks * Basel III capital adequacy standard * Investment management for insurers * Property and casualty portfolio management * Funds transfer pricing * Problem loan modeling
Author : G. Mitra
Publisher : Springer
ISBN 13 : 023030723X
Total Pages : 547 pages
Book Rating : 4.2/5 (33 download)
Download or read book Asset and Liability Management Handbook written by G. Mitra and published by Springer. This book was released on 2011-03-29 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1498343228
Total Pages : 51 pages
Book Rating : 4.4/5 (983 download)
Download or read book Sovereign Asset-Liability Management - Guidance for Resource-Rich Economies written by International Monetary Fund and published by International Monetary Fund. This book was released on 2014-11-06 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ample natural resource revenues create both opportunities and challenges for a sovereign to transform its natural resources into well-managed financial assets. Hence, inter-temporal smoothing of revenue and consumption/investment moves to the center stage of macroeconomic policies. The questions arising from natural resource wealth accumulation are becoming more pressing for many countries, given the need to achieve intergenerational equity in a context where commodity prices may not continue their upward trajectory of the past decade. Addressing these questions requires a flexible sovereign asset-liability management (SALM) framework that integrates various macroeconomic and financial trade-offs with the aim of containing financial risk to the sovereign balance sheet. The framework and policy advice aims to guide policymakers across different institutions in weighing those trade-offs.
