Book description
- Examines the scope of the asset and liability management function
- New research on a range of topics including data warehousing and credit risk models
Book details
- ISBN
- 9781899332816
- Publish date
- 1 Dec 1998
- Format
- Size
- A4
Editor biography
Various
Author biography unavailable.
Table of contents
CONTENTS
Foreword by Robert Jarrow and Donald van Deventer
Integrating the role of risk management within ALM
Michael Ong
Selected ALM issues
Jean-François Boulier
A unified VAR approach
Emilio Barone
Interest rate model risk
Rajna Gibson, François-Serge Lhabitant, Nathalie Pistre and Denis Talay
Integrating interest rate risk and credit risk in ALM
Robert Jarrow and Donald van Deventer
Modelling and managing credit risk
Derek Chan, Harry Huang, Rui Kan, Ashok Varikooty, and Henry Wang
Some estimations on the value of volatility
Shenglin Lu
Risk-sensitive dynamic asset allocation
Tomasz Bielecki and Stanley Pliska
Developing and implementing a data warehouse
John McCann
Customer Reviews
Average customer reviews for Asset and Liability Management
