Asset and Liability Management Tools

Book description

• 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

Book details

ISBN

9781906348434

Publish date

2 Jun 2003

Format

Size

155mm x 235mm

Editor biography

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.

Table of contents

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