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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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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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Liability of Asset Managers

2012
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Busch, D., DeMott, D.A.
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The Growth of Asset and Liability Management

1990
Asset and liability management is not an easy concept to describe, still less to define. After all, is it not something inherent in banking that banks should manage their assets and liabilities and have they not always done so? Of course, the answers to these questions must lie in the affirmative, but the important point is that the ways in which banks
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Banking Risks in the Asset and Liability Management System

Journal of Risk and Financial Management, 2022
Oleksandr Olshanskiy, Valentyna Shevchenko   +1 more
exaly  

Manage Assets, Liabilities, and Equity

2012
Managing the balance sheet can be more difficult than it needs to be. The following is a list of some of the reasons: 1. Sales wants to disregard concerns about creditworthiness and past due receivables. 2. Manufacturing wants to postpone writing off obsolete inventory to conceal mistakes.
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Asset and Liability Management Handbook

2011
Background and Overview of ALM Models G.Mitra & K.Schwaiger PART I: ALM MODELS APPLIED TO BANKS Bank Asset-Liability and Liquidity Risk Management M.Choudhry A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management S,K.Acar, R.Korn, K.Natcheva-Acar & J.Wenzel PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES Long-Term Interest Rates ...
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Asset-Liability Management

2020
Hennie Van Greuning, Sofija-Sonja Brajovic Bratanovic   +1 more
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Asset Liability Management for Banks [PDF]

, 2008
The model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities.
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Robust optimal asset-liability management with penalization on ambiguity

Journal of Industrial and Management Optimization, 2022
Hui Mi
exaly