Szenariobasiertes Asset Liability Modelling
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Szenariobasiertes Asset Liability Modelling
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Author : Julia Bösch
language : de
Publisher: GRIN Verlag
Release Date : 2007-11-05
Szenariobasiertes Asset Liability Modelling written by Julia Bösch and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-05 with Business & Economics categories.
Studienarbeit aus dem Jahr 2007 im Fachbereich BWL - Investition und Finanzierung, Note: 1,7, Ludwig-Maximilians-Universität München, Sprache: Deutsch, Abstract: Das Management von Assets und Liabilities ist von zentraler Bedeutung für das Risikomangement von Banken, Versicherungen, Pensionsfonds und anderen Finanzintermediären. Pensionsfonds beispielsweise haben dadurch, dass sie sich verpflichtet haben einen gewissen Prozentsatz des Gehalts als Pension auszuzahlen, hohe zukünftige Verbindlichkeiten. Die Höhe der Verbindlichkeit ist allerdings unsicher, da sie unter anderem von der Lebensdauer des Empfängers ab-hängt. Aufgabe des Pensionsfonds ist es, diese unsichere Verbindlichkeit durch Investitionen zu decken. Asset Liability Management bezeichnet die hier notwendige gleichzeitige Betrachtung von Assets und Verbindlichkeiten in der strategischen Investmentplanung. Dabei werden die Allokation von Assets und das Ein-gehen von Verbindlichkeiten so aufeinander abgestimmt, dass ein hoher Überschuss erzielt wird und gleichzeitig Verbindlichkeiten möglichst immer erfüllt werden können. Thema dieser Arbeit ist die szenariobasierte Modellierung von Assets und Liabilities. Um diesen Ansatz einzuordnen, wird in Abschnitt 2 eine Kategorisierung der verschiedenen Ansätze des Asset Liability Managements vorgenommen. In Ab-schnitt 3 wird der szenariobasierte ALM Ansatz als fortschrittlichster Ansatz ana-lysiert. Dabei wird die Modellstruktur, die Methode zur Szenariogenerierung und die stochastische Programmierung als Lösung des Ansatzes vorgestellt. Abschließend wird der szenariobasierte Ansatz kritisch bewertet und mit anderen Modellen verglichen. Ziel der Arbeit ist es also, den szenariobasierten ALM Ansatz einzuordnen, zu erläutern und zu bewerten.
Asset And Liability Management Handbook
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Author : G. Mitra
language : en
Publisher: Springer
Release Date : 2011-03-29
Asset And Liability Management Handbook written by G. Mitra and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-29 with Business & Economics categories.
Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.
Asset Liability Management Optimisation
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Author : Beata Lubinska
language : en
Publisher: John Wiley & Sons
Release Date : 2020-02-24
Asset Liability Management Optimisation written by Beata Lubinska and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-24 with Business & Economics categories.
An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book. ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM. A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position Detailed examinations of interest rate risk in the banking book (IRRBB) Discussion of Basel III regulatory requirements and maturity gap analysis Overview of customer behavior, along with its impact on interest rate and liquidity risk Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits) Explorations of model risk, sensitivity analysis, and case studies The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.
Handbook Of Asset And Liability Management
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Author : Alexandre Adam
language : en
Publisher: John Wiley & Sons
Release Date : 2008-03-11
Handbook Of Asset And Liability Management written by Alexandre Adam and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-11 with Business & Economics categories.
In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.
Handbook Of Asset And Liability Management
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Author : Stavros A. Zenios
language : en
Publisher: Elsevier
Release Date : 2007-08-08
Handbook Of Asset And Liability Management written by Stavros A. Zenios and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-08 with Business & Economics categories.
The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing. * Focuses on pragmatic applications * Relevant to a variety of risk-management industries* Analyzes models used in most financial sectors
Asset Liability And Liquidity Management
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Author : Pooya Farahvash
language : en
Publisher: John Wiley & Sons
Release Date : 2020-05-21
Asset Liability And Liquidity Management written by Pooya Farahvash and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-05-21 with Business & Economics categories.
Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry. The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The fundamentals of analytical finance Detailed explanations of financial valuation models for a variety of products The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds transfer pricing A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.
Interest Rate Risk Models
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Author : Anthony G. Cornyn
language : en
Publisher: Global Professional Publishi
Release Date : 1997
Interest Rate Risk Models written by Anthony G. Cornyn and has been published by Global Professional Publishi this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
� Practical guide for asset-liability managers faced with the decision as to whether to build or buy a financial model � Topics include modeling cash flows, net investment income versus net portfolio value, projections of interest rates, and volatility A guide for asset-liability managers and other investment professionals who are faced with the decision of whether to build or buy a financial model to measure, monitor, and help manage their institution's risk exposure. It reviews the evolution of interest rate risk models and evaluates the state-of-the-art models in use. Includes Modeling cash flows; modeling the term structure; OAS technology; net interest income versus net portfolio value; build versus buy analysis; practical methods for deriving input assumptions; prepayment rates; deposit decay rates; projections of interest rate and volatility.
Asset Liability Management For Financial Institutions
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Author : Bob Swarup
language : en
Publisher: Bloomsbury Publishing
Release Date : 2012-05-24
Asset Liability Management For Financial Institutions written by Bob Swarup and has been published by Bloomsbury Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-24 with Business & Economics categories.
Effective asset-liability management (ALM) of a financial institution requires making informed strategic and operational decisions. Ever more important in the wake of the corporate bailouts and collapses of the financial crisis, ALM encompasses the formulation, implementation, monitoring, and revision of strategies, often on a daily basis due to the fast-moving nature of the related risks and constraints. This approachable book features up-to-date practitioner and academic perspectives to provide you with the knowledge you need. Key foundation information is backed up by the latest research and thought leadership to form a comprehensive guide to ALM for today and into the future, with case studies and worked examples. Detailed coverage includes: * Successful risk management frameworks * Coherent stress-testing * Modeling market risk * Derivatives and ALM * Contingency funding to manage liquidity risks * Basel III capital adequacy standard * Investment management for insurers * Property and casualty portfolio management * Funds transfer pricing * Problem loan modeling
Worldwide Asset And Liability Modeling
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Author : William T. Ziemba
language : en
Publisher: Cambridge University Press
Release Date : 1998-11-12
Worldwide Asset And Liability Modeling written by William T. Ziemba and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-11-12 with Business & Economics categories.
The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Asset Liability Modelling For Pension Funds
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Author : Malcom Kemp
language : en
Publisher:
Release Date : 1996
Asset Liability Modelling For Pension Funds written by Malcom Kemp and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.