Applications and case studies
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 le...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
Elsevier : North-Holland
2007.
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| Edición: | 1st ed |
| Colección: | Handbooks in finance ;
bk. 2. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627229406719 |
Tabla de Contenidos:
- Front cover; Applications and Case Studies; Copyright page; Introduction to the Series; Contents of the Handbook; Preface; Contents; Chapter 11. ALM in Banking; Abstract; Keywords; Introduction; 1. Economics of banking, five main functions; 2. The bank's balance sheet and income statement; 3. Risk management in banking; 4. Asset and liability modeling for banks; 5. Application I. Pricing loan and loan loss provisioning; 6. Application II. The measurement of interest rate and liquidity risks
- 7. Application III. Portfolio diversification, marginal risk contribution, and the allocation of economic capital8. Bank regulations; 9. Conclusion; Appendix A. The relevant maturity of the transfer price; Appendix B. Bank valuation, no tax-no growth; Appendix C. Bank valuation, the corporate tax case; Appendix D. Proof of marginal contribution formula; References; Chapter 12. Dynamic Financial Analysis for Multinational Insurance Companies; Abstract; Keywords; 1. Introduction to dynamic financial analysis; 2. Basic structure of a DFA system; 3. Applications of DFA
- 4. Capital allocation and decentralized risk management5. Conclusions and future work; Appendix A. Toolkit for constructing a DFA system; References; Chapter 13. Stochastic Programming Models for Strategic and Tactical Asset Allocation-a study from Norwegian life insurance; Abstract; 1. Introduction; 2. Motivation and model description; 3. Data collection, market expectations and scenario generation; 4. The impact of the TAA-model on the organization; 5. Experiences; 6. Conclusions; References; Chapter 14. Design and Management of Unit-linked Life Insurance Contracts with Guarantees; Abstract
- Keywords1. Introduction; 2. Discrete-time modeling; 3. Continuous-time modeling; 4. Conclusion; References; Chapter 15. The Prometeia Model for Managing Insurance Policies with Guarantees; Abstract; Keywords; 1. Introduction; 2. The Italian insurance industry; 3. The scenario optimization model; 4. Model testing and validation; 5. Conclusions; Acknowledgements; Appendix A. Solving the nonlinear dynamic equations; Appendix B. Asset classes; References; Chapter 16. Integrated Risk Control Using Stochastic Programming ALM Models for Money Management; Abstract; Keywords; 1. Introduction
- 2. Multistage stochastic programming (MSP)3. Investment optimization model; 4. Portfolio risk metrics; 5. Multistage portfolio rebalancing model; 6. Model application; 7. Concluding remarks; Acknowledgement; References; Chapter 17. Asset-Liability Management for Individual Investors; Abstract; Keywords; 1. Introduction; 2. Individual ALM in practice; 3. ALM modeling for individual investors theory; 4. The individual investor stochastic programming model; 5. Problem generation and solution; 6. Conclusions and directions; Acknowledgements; Appendix A. Indiv ALM mathematical outline
- Appendix B. Operational Research Systems Personal Financial PlannerTM
