Asset and Liability Management Handbook

Front Matter....Pages i-xxxv
Introduction....Pages 1-12
Front Matter....Pages 13-13
Bank Asset-Liability and Liquidity Risk Management....Pages 15-61
A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management....Pages 62-76
Front Matter....Pages 77-77
Long-Term Interest Rates and Consol Bond Valuation....Pages 79-109
Asset Liability Management Modelling with Risk Control by Stochastic Dominance....Pages 110-138
Front Matter....Pages 139-139
The 401(k) Retirement Income Risk....Pages 141-149
Pensions, Covenants and Insurance....Pages 150-180
Employees’ Provident Funds of Singapore, Malaysia, India and Sri Lanka: a Comparative Study....Pages 181-207
Dynamic Risk Management: Optimal Investment with Risk Constraints....Pages 208-233
Optimal Investment Strategies in Defined Contribution Pension Plans....Pages 234-279
Duration-Enhancing Overlay Strategies for Defined Benefit Pension Plans....Pages 280-307
A Robust Optimization Approach to Pension Fund Management....Pages 308-330
Alternative Decision Models for Liability-Driven Investment....Pages 331-351
A Liability-Relative Drawdown Approach to Pension Asset Liability Management....Pages 352-382
Asset-Liability Management in Defined Contribution Pensions: A Stochastic Model with reference to Auto Choice Portfolios in the New Pension System in India....Pages 383-406
Front Matter....Pages 407-407
Planning for Retirement: Asset Liability Management for Individuals....Pages 409-432
The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management....Pages 433-442
Exploiting Asset-Liability Management Concepts in Private Wealth Management....Pages 443-468
Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming....Pages 469-494
Back Matter....Pages 495-515