Asset and Liability Management Tools

Asset and Liability Management Tools

By: Bernd Scherer (editor)Paperback

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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 else in one title and includes a selection of topics that are at the heart of today's best practice in ALM

About Author

Bernd Scherer Bernd Scherer teaches finance at EDHEC Business School and is a member of EDHEC Risk. He is also on the management board of the London Quant Group. Before joining EDHEC he was managing director and global head of Quantitative Asset Allocation at Morgan Stanley Investment Management, where he was responsible for the creation of active investment strategies within commodities, foreign exchange, credit and volatility products. During his 16-year career in asset management he has held various senior positions at Morgan Stanley, Deutsche Bank, Oppenheim Investment Management and J P Morgan Investment Management. Bernd's current research interests focus on signal construction, portfolio optimisation and asset liability modelling. He has written six books and more than 50 publications in leading academic and practitioner journals, such as the Journal of Banking and Finance, Journal of Financial Markets, Journal of Economics and Statistics, Journal of Portfolio Management, Financial Analysts Journal, Journal of Investment Management, Risk, Financial Markets and Portfolio Management, Journal of Asset Management, etc. Bernd holds MBA and MSc degrees from the University of Augsburg and the University of London, as well as a PhD in finance from the University of Giessen.


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

Product Details

  • ISBN13: 9781906348434
  • Format: Paperback
  • ID: 9781906348434
  • ISBN10: 190634843X

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  • 1st Class Delivery: Yes
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