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.
- 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
| Background and Overview of ALM Models |
Chapter 1 A review chapter on Professor Gautam Mitra CEO OptiRisk Systems Director CARISMA |
| Part I – ALM Models applied to Banks |
Chapter 2 Bank Asset-Liability and Liquidity Risk Management Chapter 3 A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management |
| Part II – ALM Models applied to Insurance Companies |
Chapter 4 Long-Term Interest Rates and Consol Bond Valuation Chapter 5 Asset-Liability Management Modelling with Risk Control by Stochastic Dominance |
| Part III – ALM Models applied to Pension Funds |
Chapter 6 401k Pension Plans in the USA Chapter 7 Pensions, Covenants and Insurance Chapter 8 Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand Chapter 9 Dynamic Risk Management Chapter 10 Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers Chapter 11 Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans Chapter 12 A robust optimization approach to pension fund management
Chapter 13 Alternative decision models for liability determined investment Professor Gautam Mitra CEO OptiRisk Systems Chapter 14 A Liability-Relative Drawdown Approach to Pension Asset Liability Management |
| Part IV – ALM Models applied to other areas |
Chapter 15 Individual Asset and Liability Management Chapter 16 The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management Chapter 17 Asset Liability Management in Private Wealth Management Chapter 18 Back Testing Short-term Treasury Management Strategies, Based on Multi-stage Stochastic Programming |
| Part V – Bibliography |
- List of journal papers and white papers relevant to current practices of ALM |
| Part VII – Directory of ALM service providers |
- One page per provider: Company, Locations, Summary services and products OptiRisk Systems D-fine |
There are numerous benefits of sponsorship, all of which are outlined in the sponsorship pack.
For further enquiries please contact Michael Sun either by email (michael@optirisk-systems.com) or by phone (+44 (0) 1895 819 488)