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.
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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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Inside This Book
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First Sentence:
There has been considerable discussion of a variety of issues related to fair value in the actuarial literature, in conferences and among individuals interested in this topic. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
scenario generation process, remedial contribution, stochastic investment model, including predictor variables, interest rate contingencies, actuarial valuation methods, scenario generation system, realised inflation, benefit valuation methods, orthogonal risks, contingent cashflows, liability management policies, liability management policy, state payout, conventional gilts, funding ratio, dividend price ratio, including predictability, pension scheme members, potential support ratio, stochastic programming models, portfolio selection theory, hedge portfolio, actuarial present value, pension payouts Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, Cambridge University Press, Institute of Actuaries, International Colloquium, Princeton University Press, New York, Journal of Business, Journal of Financial Economics, Monte Carlo, Thomson Financial Datastream, Klein Haneveld, Mathematical Finance, International Congress of Actuaries, Journal of Political Economy, Second Edition, Staple Inn Actuarial Society, Academic Press, Annals of Operations Research, Black Formula, John Wiley, Lifetime Portfolio Selection, Oxford University Press, Pensions Equity Conv, American Economic Review, Brunel University New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
There has been considerable discussion of a variety of issues related to fair value in the actuarial literature, in conferences and among individuals interested in this topic. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
scenario generation process, remedial contribution, stochastic investment model, including predictor variables, interest rate contingencies, actuarial valuation methods, scenario generation system, realised inflation, benefit valuation methods, orthogonal risks, contingent cashflows, liability management policies, liability management policy, state payout, conventional gilts, funding ratio, dividend price ratio, including predictability, pension scheme members, potential support ratio, stochastic programming models, portfolio selection theory, hedge portfolio, actuarial present value, pension payouts Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, Cambridge University Press, Institute of Actuaries, International Colloquium, Princeton University Press, New York, Journal of Business, Journal of Financial Economics, Monte Carlo, Thomson Financial Datastream, Klein Haneveld, Mathematical Finance, International Congress of Actuaries, Journal of Political Economy, Second Edition, Staple Inn Actuarial Society, Academic Press, Annals of Operations Research, Black Formula, John Wiley, Lifetime Portfolio Selection, Oxford University Press, Pensions Equity Conv, American Economic Review, Brunel University New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 56
books:
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- Worldwide Asset and Liability Modeling (Publications of the Newton Institute) by William T. Ziemba on 5 pages
- Strategic Asset Allocation by John Y. Campbell on page 47, page 209, and page 248
- Asset Pricing: (Revised Edition) by John H. Cochrane on page 47, and page 172
- The Econometrics of Financial Markets by John Y. Campbell on page 148, and page 209
- Stochastic Programming (Wiley Interscience Series in Systems and Optimization) by Peter Kall on page 308, and page 323
See all 56 books this book cites
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