Asset and Liability Management Handbook

Background and Overview of ALM Models; G.Mitra & K.Schwaiger PART I: ALM MODELS APPLIED TO BANKS Bank Asset-Liability and Liquidity Risk Management; M.Choudhry A Two-Factor HJM Interest Rate Model for Use in Asset Liability Management; S,K.Acar, R.Korn, K.Natcheva-Acar & J.Wenzel PART II: ALM MODELS APPLIED TO INSURANCE COMPANIES Long-Term Interest Rates and Consol Bond Valuation; E.Medova, M.Dempster & M.Villaverde Asset-Liability Management Modelling with Risk Control by Stochastic Dominance; X.Yang, J.Gondzio & A.Grothey PART III: ALM MODELS APPLIED TO PENSION FUNDS 401K Pension Plans in the USA; F.Sortino Pensions, Covenants and Insurance; C.Keating Comparison of Employees Provident Funds in Malaysia, Sri Lanka, India and Thailand; S.S.Hussin, D.Roman, G.Mitra & W.K.W.Ahmad Dynamic Risk Management; S.Jarvis Turning Pension Plans into Pension Planes: What Investment Strategy Designers of Defined Contribution Pension Plans Can Learn from Commercial Aircraft Designers; D.Blake, A.Cairns & K.Dowd Duration-Enhancing Overlay Strategies for Defined-Benefit Pension Plans; J.M.Mulvey, W.C.Kim & Yi.Ma A Robust Optimization Approach to Pension Fund Management; G.Iyengar & A.K.C.Ma Alternative Decision Models for Liability Determined Investment; K.Schwaiger, C.Lucas & G.Mitra A Liability-Relative Drawdown Approach to Pension Asset Liability Management; A.Berkelaar & R.Kouwenberg ALM in Defined Contribution Pension: A Stochastic Model with reference to Auto Choice Portfolio in NPS in India; H.Sadhak & S.Doss PART IV: ALM MODELS APPLIED TO OTHER AREAS Planning for Retirement: Asset Liability Management for Individuals; M.A.H.Dempster & E.Medova The Discretionary Wealth Hypothesis in an Arbitrage-Free Term Structure Approach to Asset-Liability Management; D.DiBartolomeo Asset Liability Management in Private Wealth Management; N.Amenc, L.Martellini, V.Milhau & V.Ziemann PART VI: DIRECTORY OF ALM SERVICE PROVIDERS Company Details, Summary of Services and Products