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Asset and Liability Management Tools

Asset and Liability Management Tools


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About the Book

A multi-author volume that provides a complete and non-technical presentation on all the very latest Asset and Liability Management issues and techniques required to stay ahead of the curve in today's volatile climate. Leading practitioners, consultants and academics have been brought together to develop an insight that should enable the reader to develop an enhanced understanding and competency of ALM and the surrounding issues. The book 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 and includes a selection of topics that are at the heart of today's best practice in ALM.

Table of Contents:
CONTENTS Introduction Bernd Scherer Section 1: Foundations 1 What Practitioners need to know about ALM 2 The Economics of the Pension Promise 3 Pension Mathematics in Actuarial Science Section 2: Fair Valuation 4 The Liability-mimicking Asset 5 Approximating Corporate Liabilities 6 Benefit Guarantees and Term Structure Models 7 Reserving Techniques 8 Implied Options and Insurance Contracts 9 Economic vs Actuarial Valuation 10 Option Pricing using State Price Deflators Section 3: Simulation 11 Simulation for the Long Run 12 Economic Cascade Models 13 Vector Auto-regressive Models Section 4 Optimisation 14 Hybrid Simulation/Optimisation Models 15 Portfolio Optimisation with Drawdown Constraints 16 Stochastic Programming

About the Author :
Dr Bernd Scherer heads the Advanced Applications Group in Europe and the Middle East at Deutsche Bank's Asset Management division, offering cutting edge investment solutions to a sophisticated institutional client base. Before joining Deutsche Bank, Dr Scherer globally headed fixed-income portfolio research at Schroder Investment Management in London. During his 10-year career in asset management he has held various positions at Morgan Stanley, Oppenheim Investment Management and JP Morgan Investment Management. He publishes widely in relevant asset management industry journals and investment handbooks and is a regular speaker at investment conferences. Dr Scherer's current research interests focus on asset valuation, portfolio construction, strategic asset allocation and asset liability modelling. Dr Scherer 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.


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Product Details
  • ISBN-13: 9781904339069
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 230 mm
  • ISBN-10: 1904339069
  • Publisher Date: 30 Jun 2003
  • Binding: Hardback


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