Asset and Liability Management Tools

A Handbook for Best Practice

Publication Date	June 2003
Publisher	Risk Books
Product Type	Book
Pages	333
ISBN Number	1904339069
Product Code	RIS00306

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Summary

Leading practitioners, consultant and academics have been brought together to develop a unique insight that will enable the reader to develop an enhanced understanding and competency of ALM and the surrounding issues
Covers pension finance, foundations, actuarial mathematics, fair valuation of pension liabilities including optionalities, scenario simulation and portfolio optimisation
A non-technical approach combined with the use of practical examples throughout offers a thorough understanding of the subject matter to those of a non-quantitative background as well as decision makers and corporates
This volume is a total representation of the subject matter that cannot be found anywhere else in one title and includes a selection of topics that are at the heart of today's best practice in ALM

Content

Introduction: Rethinking Asset Management: Consequences of the Pension Crisis
Part 1: Foundations
- 1 Fair Value of Liabilities: The Financial Economics Perspective
  - David F. Babbel of The Warton School, University of Pennsylvania, Jeremy Gold of Jeremy Gold Pensions and Craig B. Merrill of Brigham Young University
- 2 A Modern Perspective on Institutional Investment Policy
  - Jon Exley of Mercer Investment Consulting
- 3 Pension Mathematics in Actuarial Science
  - Alfred Kussmaul and Reiner Schwinger of Rauser AG
Part 2: Valuation
- 4 An Analysis of the Hedging Approach to Modelling Pension Fund Liabilities
  - John Randall of Birkbeck College and Stephen Satchell of Cambridge University
- 5 Approximating Corporate Liabilities
  - Thomas Jasper of Rauser AG and Bernd Scherer of Deutsche Bank
- 6 Market Risk and Credit Risk of Old-age Security Systems
  - Markus Rudolf of WHU Otto Beisheim Graduate School of Management
- 7 An Introduction to the Fair Valuation of Life Insurance Liabilities
  - David Prieul and Vladislav Putyatin of Deutsche Bank
- 8 State-price Deflators
  - Stuart Jarvis of Hewitt Bacon & Woodrow, Frances Southall and Elliot Varnell of Deloitte & Touche
- 9 Option Pricing with Deflators
  - Andrew D. Smith of Deloitte & Touche
Part 3: Simulation
- 10 Simulation for the Long Run
  - Roy P. M. M. Hoevenaars of ABP Investments and Maastricht University, Roderick D. J. Molenaar of ABP Investments and Tom B. M. Steenkamp of ABP Investments and Vrije University of Amsterdam
- 11 Economic Cascade Models
  - Elke Eberts of University for Applied Science of the Federal Institute, Mannheim and Raimond Maurer of Johann Wolfgang Goethe Univeristy, Frankfurt
- 12 Vector Autoregression Modelling Tools for Asset Liability Management
  - Norman R. Swanson of Rutgers University and DFA Capital Management, Inc., Joseph R. Fairchild of Faircorp Inc. and Hal W. Pedersen of University of Manitoba
Part 4: Optimisation
- 13 Portfolio Optimisation with Drawdown Constraints
  - Alexei Chekhlov, Stanislav Uryasev and Michael Zabarankin of University of Florida
- 14 A Hybrid Simulation / Tree Stochastic Optimisation Model for Dynamic Asset Allocation
  - Norio Hibiki of Keio University
- 15 Asset Liability Management using Stochastic Programming
  - Mehndi Pirbhai of CARISMA (Brunel University), Gautam Mitra of CARISMA (Brunel University) and OptiRisk Ltd; and Triphonas Kyriakis of Analytics Ltd
- 16 Asset Liability Management Modelling using Multistage Mixed-integer Stochastic Programming
  - Sibrand J. Drijver, Willem K. Klein Haneveld and Maarten H. van der Vlerk of University of Groningen, The Netherlands