Asset and Liability Management Handbook

Released: March 2011 Hardback
Price: £125.00 (Launch discount £75.00) + £5.00 P&P (UK)
ISBN: 978-0-230-27779-3

Scope

In recent years there has been a considerable upsurge of interest in quantitative methods applied to Asset and Liability Management problems. Progressive acceptance of these quantitative methods have led to products and services being offered by a number of technology companies specialising in this niche yet growing field of knowledge based modelling services for the finance industry. The focus of the Handbook is on quantitative methods for Asset and Liability Management applied to three areas: pension funds, insurance companies and banks. Current market developments and continuing evolution of regulatory requirements have created a growing market place for modelling and software services for these sectors. For instance in the banking sector the Basel II accord is evolving; similarly Solvency II for insurance companies and FRS regulations by FSA on the conduct of pension schemes are impacting the compliance requirements in these sectors which are best addressed by model based approaches.

The Handbook is a collection of state of the learned articles on the topic of quantitative decision models for Asset and Liability Management for different sectors; in particular the impact of new regulations and risk exposures will be carefully examined.

The Handbook will be of interest to key decision makers, in particular:

Pension Fund Trustees
Finance Directors
CEOs
Pension Fund Managers
Pension Fund Investment Committee Members
Consultants
Quantitative Fund Managers
Risk Managers
Actuaries
Balance Sheet Managers
Portfolio Managers
Liability Managers
Asset Managers
Investment Managers
Treasurers
Capital Managers
Product Managers
Quantitative Analysts
Research Departments
Industry focussed Academics

The novel approach of the Asset and Liability Management Handbook is that it contains state of the art models for three application areas: pension funds, insurance companies and banks.

Content

Background and Overview of ALM Models

Chapter 1 A review chapter on
– ALM Models for Banks, Insurance Companies and Pension Funds
– Regulations affecting these ALM application area

Professor Gautam Mitra
CEO OptiRisk Systems
Director CARISMA

Dr. Katharina Schwaiger
OptiRisk Systems
KTP Postdoctoral Associate, Brunel University

Part I – ALM Models applied to Banks

Chapter 2 Bank Asset-Liability and Liquidity Risk Management

Dr. Moorad Choudhry
Europe Arab Bank

Chapter 3 A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management

Dr. Sarp Kaya Acar
Fraunhofer Institute for Industrial Mathematical ITWM

Professor Ralf Korn
Fraunhofer Institute for Industrial Mathematical ITWM

Dr. Kalina Natcheva-Acar
Fraunhofer Institute for Industrial Mathematical ITWM

Dr. Joerg Wenzel
Fraunhofer Institute for Industrial Mathematical ITWM

Part II – ALM Models applied to Insurance Companies

Chapter 4 Long-Term Interest Rates and Consol Bond Valuation

Dr. Elena Medova
Senior Research Associate, Cambridge University,
Director, Cambridge System Associates

Professor Michael Dempster
Professor Emeritus, Cambridge University,
Director Cambridge System Associates

Dr. Michael Villaverde
Principal, BlueCrest Capital Management

Chapter 5 Asset-Liability Management Modelling with Risk Control by Stochastic Dominance

Xi Yang
PhD Candidate, University of Edinburgh

Professor Jacek Gondzio
University of Edinburgh

Dr. Andreas Grothey
Lecturer, University of Edinburgh

Part III – ALM Models applied to Pension Funds

Chapter 6 401k Pension Plans in the USA

Professor Frank Sortino
Emeritus Professor, San Francisco State University
Director Pension Research Institute

Chapter 7 Pensions, Covenants and Insurance

Con Keating
Head of Research, BrightonRock Group

Chapter 8 Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand

Siti Sheikh Hussin
PhD Candidate, CARISMA, Brunel University

Dr. Diana Roman
Lecturer, CARISMA, Brunel University

Professor Gautam Mitra
CEO OptiRisk Systems,
Director CARISMA

W Kamaruzaman Wan Ahmad
General Manager, EPF Malaysia

Chapter 9 Dynamic Risk Management

Dr. Stuart Jarvis
Managing Director, BlackRock

Chapter 10 Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers

Professor David Blake
Cass Business School, City University

Professor Andrew Cairns
Heriot-Watt University

Professor Kevin Dowd
Nottingham University Business School

Chapter 11 Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans

Professor John M. Mulvey
Professor, Princeton University

Woo Chang Kim
Assistant Professor, Korea Advanced Institute of Science and Technology

Yi Ma
PhD Candidate, Princeton University

Chapter 12 A robust optimization approach to pension fund management

Professor Garud Iyengar
Associate Professor, Columbia University

Professor Alfred Ka Chun Ma
Assistant Professor, Chinese University of Hong Kong

Chapter 13 Alternative decision models for liability determined investment

Dr. Katharina Schwaiger
OptiRisk Systems
KTP Postdoctoral Associate, Brunel University

Dr. Cormac Lucas
Lecturer, CARISMA, Brunel University

Professor Gautam Mitra
CEO OptiRisk Systems
Director CARISMA

Chapter 14 A Liability-Relative Drawdown Approach to Pension Asset Liability Management

Dr. Arjan Berkelaar
Head of asset allocation and risk management,
Kaust Investment Management Company

Dr. Roy Kouwenberg
Chair PhD Program, Mahidol University and Erasmus University, Rotterdam

Part IV – ALM Models applied to other areas

Chapter 15 Individual Asset and Liability Management

Dr. Elena Medova
Senior Research Associate, Cambridge University,
Director, Cambridge System Associates

Chapter 16 The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management

Dan diBartolomeo CFA
CEO Northfield Information Services Inc.

Chapter 17 Asset Liability Management in Private Wealth Management

Professor Noel Amenc
EDHEC

Professor Lionel Martellini
EDHEC

Dr. Vincent Milhau
EDHEC

Dr. Volker Ziemann
EDHEC

Chapter 18 Back Testing Short-term Treasury Management Strategies, Based on Multi-stage Stochastic Programming

Dr. Robert Ferstl
Postdoctoral Associate, University of Regensburg

Dr. Alexander Weissensteiner
Research Assistant, University of Innsbruck

Part V – Directory of ALM service providers

– One page per provider: Company, Locations, Summary services and products

OptiRisk Systems
Northfield Information Services
Cambridge System Associates
BrightonRock
Chartered Institute of Securities and Investment
Redington Partners
ORFIVAL
Cardano
Axioma
Ehrenteich Consulting
Fraunhofer

D-fine
Credit Suisse
Barrie and Hibbert