Asset and Liability Management Handbook

Edited by Gautam Mitra and Katharina Schwaiger

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2011
ISBN: 978-0-230-30723-0
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Chapters in this book:

Ch 1 Introduction

Gautam Mitra and Katharina Schwaiger

Ch 2 Bank Asset-Liability and Liquidity Risk Management

Moorad Choudhry

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

Sarp Kaya Acar, Ralf Korn, Kalina Natcheva-Acar and Jörg Wenzel

Ch 4 Long-Term Interest Rates and Consol Bond Valuation

Michael Dempster, Elena Medova and Michael Villaverde

Ch 5 Asset Liability Management Modelling with Risk Control by Stochastic Dominance

Xi Yang, Jacek Gondzio and Andreas Grothey

Ch 6 The 401(k) Retirement Income Risk

Frank Sortino and David Hand

Ch 7 Pensions, Covenants and Insurance

Con Keating

Ch 8 Employees’ Provident Funds of Singapore, Malaysia, India and Sri Lanka: a Comparative Study

Siti Sheikh Hussin, Gautam Mitra, Diana Roman, Wan Kamaruzaman and Wan Ahmad

Ch 9 Dynamic Risk Management: Optimal Investment with Risk Constraints

Stuart Jarvis

Ch 10 Optimal Investment Strategies in Defined Contribution Pension Plans

David Blake, Andrew Cairns and Kevin Dowd

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

John M. Mulvey, Woo Chang Kim and Yi Ma

Ch 12 A Robust Optimization Approach to Pension Fund Management

Garud Iyengar, Alfred Ka and Chun Ma

Ch 13 Alternative Decision Models for Liability-Driven Investment

Katharina Schwaiger, Cormac Lucas and Gautam Mitra

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

Arjan Berkelaar and Roy Kouwenberg

Ch 15 Asset-Liability Management in Defined Contribution Pensions: A Stochastic Model with reference to Auto Choice Portfolios in the New Pension System in India

Hira Sadhak and Steward Doss

Ch 16 Planning for Retirement: Asset Liability Management for Individuals

Michael Dempster and Elena Medova

Ch 17 The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management

Dan diBartolomeo

Ch 18 Exploiting Asset-Liability Management Concepts in Private Wealth Management

Noël Amenc, Lionel Martellini, Vincent Milhau and Volker Ziemann

Ch 19 Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming

Robert Ferstl and Alexander Weissensteiner

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Persistent link: https://EconPapers.repec.org/RePEc:pal:palbok:978-0-230-30723-0

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DOI: 10.1057/9780230307230

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