Results 211 to 220 of about 3,446 (262)

Asset and Liability Management

2000
Asset and liability management is the simultaneous consideration of assets and liabilities in strategic investment planning. The asset and liability management models in the literature are reviewed with an emphasis on the recently developed approaches. In most of the recent models, the uncertainty is described by a representative set of scenarios.
Rachev, Svetlozar T., Tokat, Y.
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Asset-Liability Management: An Overview

2010
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). The author describes the general idea behind ALM, its pros and cons, risk measures and strategies, as well as some applications ...
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Dynamic stochastic programmingfor asset-liability management

Annals of Operations Research, 1998
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Giorgio Consigli, M. A. H. Dempster
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Mean–variance asset–liability management with asset correlation risk and insurance liabilities

Insurance: Mathematics and Economics, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mei Choi Chiu, Hoi Ying Wong
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Asset-Liability Management

2019
Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes.
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Asset and Liability Management

1979
The purpose of this chapter is to analyse the approach taken by international banking leadership to the management of the portion of their bank’s balance sheet for which they have responsibility. Separate volumes in this series deal in detail with loan portfolio management (International Lending by Commercial Banks, by T. H.
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Asset and Liability Management [PDF]

In this chapter, we consider the situation of an investor who manages a portfolio of assets partly funded by an external liability. This is the typical case for banks, insurance companies and hedge funds. Asset and liabilitymanagement (ALM) problems have generated a substantial literature and a diversity of approach such as stochastic control (see ...
Mark H. A. Davis, Sébastien Lleo
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Global Asset Liability Management

British Actuarial Journal, 2003
ABSTRACT Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate the evolution over time of financial models of funds, complex liabilities and entire firms. Although of increasing popularity, the drawback of DFA is the dearth of systematic methods for optimising model parameters for strategic financial ...
M. A. H. Dempster, M. Germano, E. A. Medova, M. Villaverde   +3 more
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Asset-Liability Management

1995
In diesem Kapitel wird untersucht, was Asset-Liability Management bedeutet und wie es in Versicherungsunternehmen integriert werden kann. Hierzu wird zu Beginn des Kapitels die Frage nach der Notwendigkeit eines Asset-Liability Managements behandelt (4.1.). In Abschnitt 4.2. werden zunachst verschiedene Definitionen aus der Literatur diskutiert. Darauf
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Liability of Asset Managers

2012
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Busch, D., DeMott, D.A.
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