Asset and liability management for banks and insurance companies / (Record no. 2907)

000 -LEADER
fixed length control field 05281nam a2200361 a 4500
001 - CONTROL NUMBER
EWU control number 2907
003 - CONTROL NUMBER IDENTIFIER
control field BD-DhEWU
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20171126095229.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 170726s2015 enka g b 001 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781848218833
International Standard Book Number 1848218834
035 ## - SYSTEM CONTROL NUMBER
OCLC control number (OCLC)958188715
040 ## - CATALOGING SOURCE
Original cataloging agency BD-DhEWU
Modifying agency BD-DhEWU
Language of cataloging eng
Transcribing agency BD-DhEWU
041 ## - LANGUAGE CODE
Language code of text/sound track or separate title eng
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.10681
Author mark and Year ASS 2015
245 #0 - TITLE STATEMENT
Title Asset and liability management for banks and insurance companies /
Statement of responsibility, etc Marine Habart-Corlosquet...[et al.]
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc London :
Name of publisher, distributor, etc ISTE Ltd. ;
-- John Wiley & Sons,
Date of publication, distribution, etc 2015.
300 ## - PHYSICAL DESCRIPTION
Extent XI, [1], 154 s. :
Other physical details ill. ;
Dimensions 24 cm.
490 1# - SERIES STATEMENT
Series statement Innovation, Entrepreneurship and Management Series.
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and index
505 ## - FORMATTED CONTENTS NOTE
Title Table of contents
Contents note INTRODUCTION ix CHAPTER 1. DEFINITION OF ALM IN THE BANKING AND INSURANCE AREAS 1 1.1. Introduction 1 1.2. Brief history of ALM for banks and insurance companies 2 1.3. Missions of the ALM department 3 1.3.1. Missions of the ALM department for banks 3 1.3.2. Missions of the ALM department for insurance companies 5 1.4. Conclusion 8 CHAPTER 2. RISKS STUDIED IN ALM 9 2.1. Introduction 9 2.2. Risks studied in a bank in the framework of Basel II and III 9 2.2.1. Main risks for banks 9 2.2.2. From Basel I to Basel III 11 2.3. Stress tests 15 2.3.1. What is a stress test? 15 2.3.2. The stress tests of 2014 16 2.4. Risks studied in an insurance company in the framework of Solvency II 17 2.4.1. Solvency II in a nutshell 17 2.4.2. Focus on the risks 20 2.5. Commonalities and differences between banks and insurance companies problems 25 2.5.1. Commonalities 25 2.5.2. Differences 25 2.6. Conclusion 26 CHAPTER 3. DURATIONS (REVISITED) AND SCENARIOS FOR ALM 27 3.1. Introduction 27 3.2. Duration and convexity risk indicators 28 3.3. Scenario on the cash amounts of the flow 32 3.4. Scenario on the time maturities of the flow 34 3.5. Matching asset and liability 36 3.6. Matching with flow scenarios 40 3.7. ALM with the yield curve 43 3.7.1. Yield curve 43 3.7.2. ALM with the equivalent constant rate 44 3.8. Matching with two rates 46 3.9. Equity sensitivity 47 3.9.1. Presentation of the problem 47 3.9.2. Formalization of the problem 48 3.9.3. Time dynamic of asset and liability flows 49 3.9.4. Sensitivity of equities and VaR indicator 51 3.9.5. Duration of equities 52 3.9.6. Special case of the aggregated balance sheet 52 3.9.7. A VaR approach 54 3.10. ALM and management of the bank 58 3.10.1. Basic principles 58 3.10.2. ALM and shares 58 3.10.3. Stochastic duration 66 3.11. Duration of a portfolio 70 3.12. Conclusion 71 CHAPTER 4. BUILDING AND USE OF AN ALM INTERNAL MODEL IN INSURANCE COMPANIES 73 4.1. Introduction 73 4.2. Asset model 74 4.2.1. Equity portfolio 74 4.2.2. Bond portfolio 76 4.2.3. Real estate 82 4.2.4. Central scenario and simulated scenarios 83 4.3. Liability model 84 4.3.1. Model points 85 4.3.2. Mathematical reserves and annual policyholder benefits 87 4.3.3. Annual policyholder benefits and crediting rate 87 4.3.4. Profit sharing 90 4.3.5. Policyholder demography and behavior 91 4.3.6. Other reserves 94 4.3.7. Future new business 96 4.3.8. Fees and business costs 97 4.4. Structure of an ALM study 99 4.4.1. Determinist study 99 4.4.2. Stochastic study 103 4.5. Case study 105 4.5.1. Goal of the study 105 4.5.2. Business plan and other liability inputs 105 4.5.3. Central scenario and other asset inputs 106 4.5.4. Fee and cost hypotheses 107 4.5.5. Step-by-step model 107 4.5.6. The ALM study 109 4.6. Conclusion 114 CHAPTER 5. BUILDING AND USE OF ALM INTERNAL MODELS IN BANKS 115 5.1. Introduction 115 5.2. Case 1: Reduction of gaps 115 5.2.1. Basic numerical data 115 5.2.2. Basic ALM indicators 118 5.2.3. Scenario for loss reduction 119 5.3. Case 2: A stochastic internal model 121 5.3.1. Probability of bankruptcy 121 5.3.2. Presentation of the first model (Model I) 122 5.3.3. Presentation of the model with correlations (Model Ibis) 124 5.3.4. Presentation of the model with correlations and non-negative values for assets and liabilities (Model II)126 5.3.5. Consequences for ALM 131 5.4. Calibration of the models 135 5.4.1. Historical method 135 5.4.2. Scenario generator 139 5.5. Example 139 5.5.1. Model Ibis 139 5.5.2. ALM II 142 5.6. Key points for building internal models 146 5.6.1. How to present an internal model? 146 5.6.2. Validation of the model 147 5.6.3. Partial and global internal models 147 5.7. Conclusion 148 CONCLUSION 149 BIBLIOGRAPHY 151 INDEX 153
520 ## - SUMMARY, ETC.
Summary, etc 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.
526 ## - STUDY PROGRAM INFORMATION NOTE
Program name Economics
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name Financial risk management.
9 (RLIN) 20887
Topical term or geographic name Bank management.
9 (RLIN) 20972
Topical term or geographic name Insurance companies
General subdivision Management.
9 (RLIN) 20973
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Corlosquet-Habart, Marine.
9 (RLIN) 20974
856 42 - ELECTRONIC LOCATION AND ACCESS
Materials Specified WorldCat details
Uniform Resource Identifier https://www.worldcat.org/title/asset-and-liability-management-for-banks-and-insurance-companies/oclc/958188715&referer=brief_results
Materials Specified Ebook Fulltext
Uniform Resource Identifier http://lib.ewubd.edu/ebook/2907
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Text
Source of classification or shelving scheme
Holdings
Lost status Source of classification or shelving scheme Not for loan Collection code Permanent Location Current Location Shelving location Date of accession Source of acquisition Cost, normal purchase price Full call number Barcode Date last seen Copy number Price effective from Koha item type
    Not For Loan Non-fiction EWU Library EWU Library Reserve Section 2017-07-16 Karim International 5700.00 332.10681 ASS 2015 28414 2017-07-26 C-1 2017-07-26 Text
      Non-fiction EWU Library EWU Library Circulation Section 2017-07-16 Karim International 5700.00 332.10681 ASS 2015 28415 2017-07-26 C-2 2017-07-26 Text

Library Home | Contacts | E-journals
Copyright @ 2011-2019 EWU Library
East West University