Asset and
Liability Management Tools
Bernd
Scherer (Editor)
価格（税別）：
U.K. 定価： £85.00
Amazon.co.jp 2003年6月27日時点:円相当額：￥16,543(手数料：+￥1,654) 価格：￥18,197
Hardcover:
300 pages
出版社: Risk Books ; ISBN: 1904339069 ; (2003/05/01)
以下の部分は、RISK BOOKS ホームページより引用。(http://www.riskbooks.com/)
Asset and Liability Management Tools
A Handbook for Best Practice
Edited by Bernd Scherer
Publication date: May
2003
A new
multi-author volume that provides a complete and non-technical presentation on
all the very latest Asset and Liability Management issues and techniques
required to stay ahead of the curve in today's volatile climate
- 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 elsewhere in one title and includes a
selection of topics that are at the heart of today's best practice in ALM
CONTENTS
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