Asset and liability management for banks and insurance companies / / Marine Corlosquet-Habart [and three others]

• Pubblicazione: London, [England] ; ; Hoboken New Jersey : , : ISTE : , : Wiley, , 2015; ©2015
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (171 p.)
• Disciplina: 332.068/1
• Soggetto topico: Asset-liability management
• Soggetto genere / forma: Electronic books.
• Persona (resp. second.): Corlosquet-HabartMarine
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Cover; Title Page; Copyright; Contents; Introduction; 1: Definition of ALM in the Banking and Insurance Areas; 1.1. Introduction; 1.2. Brief history of ALM for banks and insurance companies; 1.3. Missions of the ALM department; 1.3.1. Missions of the ALM department for banks; 1.3.1.1. Deterministic models; 1.3.1.2. Stochastic models; 1.3.1.3. Mission of the bank ALM department; 1.3.2. Missions of the ALM department for insurance companies; 1.3.2.1. To ensure proper coordination of assets and liabilities; 1.3.2.2. To provide recommendations on marketing strategy and assetallocation ; 1.3.2.3. To calculate the Solvency II capital requirement for market risks1.4. Conclusion; 2: Risks Studied in ALM; 2.1. Introduction; 2.2. Risks studied in a bank in the framework of Basel II and III; 2.2.1. Main risks for banks; 2.2.2. From Basel I to Basel III; 2.2.2.1. Basel I and Basel II; 2.2.2.2. Basel III; 2.3. Stress tests; 2.3.1. What is a stress test?; 2.3.2. The stress tests of 2014; 2.4. Risks studied in an insurance company in the framework of Solvency II; 2.4.1. Solvency II in a nutshell; 2.4.2. Focus on the risks; 2.4.2.1. Market risk; 2.4.2.2. Health underwriting risk ; 2.4.2.3. Counterparty default risk2.4.2.4. Life underwriting risk; 2.4.2.5. Non-life underwriting risk; 2.4.2.6. Intangible assets risk; 2.5. Commonalities and differences between banks and insurance companies' problems; 2.5.1. Commonalities; 2.5.2. Differences; 2.6. Conclusion; 3: Durations (Revisited) and Scenarios for ALM; 3.1. Introduction; 3.2. Duration and convexity risk indicators; 3.3. Scenario on the cash amounts of the flow; 3.4. Scenario on the time maturities of the flow; 3.5. Matching asset and liability; 3.6. Matching with flow scenarios; 3.7. ALM with the yield curve ; 3.7.1. Yield curve3.7.2. ALM with the equivalent constant rate; 3.8. Matching with two rates; 3.9. Equity sensitivity; 3.9.1. Presentation of the problem; 3.9.2. Formalization of the problem; 3.9.3. Time dynamic of asset and liability flows; 3.9.3.1. Basic data of the considered scenario; 3.9.3.2. Equivalent constant rates; 3.9.4. Sensitivity of equities and VaR indicator; 3.9.5. Duration of equities; 3.9.6. Special case of the aggregated balance sheet; 3.9.7. A VaR approach; 3.10. ALM and management of the bank; 3.10.1. Basic principles; 3.10.2. ALM and shares; 3.10.2.1. Infinite horizon ; 3.10.2.2. VaR approach3.10.2.3. Finite horizon (the Janssen-Manca model); 3.10.2.4. Scenario: Selling of the share at time T at price T; 3.10.3. Stochastic duration [JAN 08]; 3.10.3.1. Mean approach; 3.10.3.2. Stochastic duration [JAN 08]; 3.11. Duration of a portfolio; 3.12. Conclusion; 4: Building and Use of an ALM Internal Model in Insurance Companies; 4.1. Introduction; 4.2. Asset model; 4.2.1. Equity portfolio; 4.2.1.1. A simple equity model; 4.2.1.2. Limitations of the model; 4.2.1.3. Dividends; 4.2.2. Bond portfolio; 4.2.2.1. The CIR model; 4.2.2.2. Other interest rate models ; 4.2.3. Real estate
• Sommario/riassunto: This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.
• Titolo autorizzato: Asset and liability management for banks and insurance companies
• ISBN: 1-119-18461-4; 1-119-18455-X; 1-119-18460-6
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910131640203321
• Lo trovi qui: Univ. Federico II