Worldwide Asset And Liability Modeling

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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.

Handbook Of Asset And Liability Management

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Author : Alexandre Adam
language : en
Publisher: Wiley
Release Date : 2007-12-10

Handbook Of Asset And Liability Management written by Alexandre Adam and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-10 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.

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.

Financial Modeling Actuarial Valuation And Solvency In Insurance

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Author : Mario V. Wüthrich
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-04

Financial Modeling Actuarial Valuation And Solvency In Insurance written by Mario V. Wüthrich and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-04 with Mathematics categories.

Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

Security Market Imperfections In Worldwide Equity Markets

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Author : Donald B. Keim
language : en
Publisher: Cambridge University Press
Release Date : 2000-03-13

Security Market Imperfections In Worldwide Equity Markets written by Donald B. Keim 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 2000-03-13 with Business & Economics categories.

The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area. Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.

The Public Wealth Of Nations

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Author : Dag Detter
language : en
Publisher: Springer
Release Date : 2016-02-05

The Public Wealth Of Nations written by Dag Detter and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-05 with Social Science categories.

We have spent the last three decades engaged in a pointless and irrelevant debate about the relative merits of privatization or nationalization. We have been arguing about the wrong thing while sitting on a goldmine of assets. Don’t worry about who owns those assets, worry about whether they are managed effectively. Why does this matter? Because despite the Thatcher/ Reagan economic revolution, the largest pool of wealth in the world – a global total that is much larger than the world’s total pensions savings, and ten times the total of all the sovereign wealth funds on the planet – is still comprised of commercial assets that are held in public ownership. If professionally managed, they could generate an annual yield of 2.7 trillion dollars, more than current global spending on infrastructure: transport, power, water, and communications. Based on both economic research and hands-on experience from many countries, the authors argue that publicly owned commercial assets need to be taken out of the direct and distorting control of politicians and placed under professional management in a ‘National Wealth Fund’ or its local government equivalent. Such a move would trigger much-needed structural reforms in national economies, thus resurrect strained government finances, bolster ailing economic growth, and improve the fabric of democratic institutions. This radical, reforming book was named one of the "Books of the Year".by both the FT and The Economist.

Handbook Of Analytic Computational Methods In Applied Mathematics

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Author : George Anastassiou
language : en
Publisher: CRC Press
Release Date : 2019-06-03

Handbook Of Analytic Computational Methods In Applied Mathematics written by George Anastassiou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-03 with Mathematics categories.

Working computationally in applied mathematics is the very essence of dealing with real-world problems in science and engineering. Approximation theory-on the borderline between pure and applied mathematics- has always supplied some of the most innovative ideas, computational methods, and original approaches to many types of problems. The f

International Convergence Of Capital Measurement And Capital Standards

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Author :
language : en
Publisher: Lulu.com
Release Date : 2004

International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.

Handbook Of Heavy Tailed Distributions In Finance

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Author : S.T Rachev
language : en
Publisher: Elsevier
Release Date : 2003-03-05

Handbook Of Heavy Tailed Distributions In Finance written by S.T Rachev and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-03-05 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 should present 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. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Iii

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Author : Marco Avellaneda
language : en
Publisher: World Scientific
Release Date : 2002-01-18

Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Iii written by Marco Avellaneda and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-18 with Mathematics categories.

This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.