Asset and Liability Management

A Synthesis of New Methodologies

Examines the scope of the asset and liability management function
New research on a range of topics including data warehousing and credit risk models

Foreword by Robert Jarrow and Donald van Deventer
Integrating the role of risk management within ALM
- Michael Ong
Selected ALM issues
- Jean-Franois Boulier
A unified VAR approach
- Emilio Barone
Interest rate model risk
- Rajna Gibson, Franois-Serge Lhabitant, Nathalie Pistre and Denis Talay
Integrating interest rate risk and credit risk in ALM
- Robert Jarrow and Donald van Deventer
Modelling and managing credit risk
- Derek Chan, Harry Huang, Rui Kan, Ashok Varikooty, and Henry Wang
Some estimations on the value of volatility
- Shenglin Lu
Risk-sensitive dynamic asset allocation
- Tomasz Bielecki and Stanley Pliska
Developing and implementing a data warehouse
- John McCann