Author: Yesim TokatPublisher:
ISBN:
Category :
Languages : en
Pages : 304
Book Description
Essays on Asset Allocation and Asset/liability Management
Author: Yesim TokatEssays on Asset Management and Asset Liability Management
Author: Lidia BollaPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The dissertation comprises three articles from the fields of asset liability management and asset management. In the first article, we create a liability benchmark for referencing the asset allocation performance of pension funds and introduce the Asset-Liability-Result (ALR) - the relative performance of the strategic asset allocation (SAA) with respect to the performance of the market value of the liabilities. We apply our approach to the Swiss market and are able to show that the pension funds' recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. The ALR does not intend to benchmark the performance of asset managers, but rather to provide an instrument for analyzing the performance of entire pension fund markets and to present an operational asset liability management tool for individual pension funds. In the second article, we investigate whether fundamental indexing - an alternative to the predominant market value weighting methodology - is able to generate an outperformance in fixed income markets when accounting for differences in the risk factor exposure. The findings of the study suggest that fundamental indexing is able to generate higher returns in the long term. However, our results show statistically significant and economically relevant exposures of the fundamentally weighted indices towards the previously studied risk factors term and default and, in particular, towards the newly introduced risk factors duration, convexity, liquidity and carry trade risk. The elevated risk exposure is able to fully explain the outperformance. The third article analyzes risk commonalities within equity markets around the globe and tests the hypothesis that index linked investing is a major driver for increasing co-movements within equity markets. We find substantial evidence that the growth in index linked investing is related to increased co-movements in trading pattern.
Essays on asset liabilty modelling
Author: David Frederik SchragerPublisher: Rozenberg Publishers
ISBN: 9051709455
Category :
Languages : en
Pages : 195
Book Description
Essays on Asset and Liability Management Analysis
Author: Worldwide Asset and Liability Modeling
Author: William T. ZiembaPublisher: Cambridge University Press
ISBN: 9780521571876
Category : Business & Economics
Languages : en
Pages : 688
Book Description
The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Asset Liability Management and Underwriting Cycles
Author: Thomas Berry-StölzlePublisher:
ISBN:
Category :
Languages : en
Pages : 152
Book Description
Asset Liability Management. 3rd Edition
Author: Publisher: FinanceTrainingCourse.com
ISBN:
Category : Business & Economics
Languages : en
Pages : 185
Book Description
The book begins with a description of how the revenue generation mechanism of a bank works. Asset liability management (ALM) and associated interest rate and liquidity risks are defined and other measures such as duration and convexity are calculated. In order to understand the various yield curve shapes, shifts and outlooks, a review of the historical US yield term structures is conducted. This is followed by a look at various ALM strategies, in view of future expected interest rate outlooks, and their impact on the maturity distributions of assets & liabilities of banks. Next, the various assumptions used in an ALM model are assessed, followed by an explanation of price and rate gaps with some basic illustrations to understand the concepts of net interest income at risk and market value at risk. ALM reports profile cash flows by maturity or reset buckets. A methodology for building maturity and liquidity profiles for banks’ advances and deposits portfolios using the Pivot table & chart functionality in EXCEL is discussed. Step by step methodologies for various ALM measurement tools follow. These include Fall in Market Value of Equity, Earnings at Risk, Cost to Close liquidity gap, Cost to Close interest rate gap, Rate Sensitive Gap, Duration Gap. An overview of other ALM reports such as price sensitive gap, net interest income (NII) and liquidity gap is given. Applications for explaining immunization and portfolio dedication are presented. An EXCEL Solver based fixed income portfolio optimization model is discussed and scenarios for minimizing duration and maximizing convexity of the portfolio are presented. A discussion of liquidity risk management measures including ratios and analyses for measuring liquidity risk, limits for managing the risk, general and specific requirements for developing a contingency funding plan and liquidity enhancement tactics for company specific and systemic crisis. A methodology for stress testing liquidity using a Value at Risk (VaR) based approach for a fixed income portfolio is also discussed. The book concludes with a case-study for assessing why bank regulations fail. This simulation results based study looks at the efficacy of Capital Adequacy Ratio (CAR) as an indicator of bank performance and seeks to identify a more valuable leading indicator or target account for monitoring bank performance and health.
Three Essays on Bank Asset and Liability Management
Author: Daniel KolpAsset Liability Management Optimisation
Author: Beata LubinskaPublisher: John Wiley & Sons
ISBN: 1119635519
Category : Business & Economics
Languages : en
Pages : 268
Book Description
An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book. ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM. A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position Detailed examinations of interest rate risk in the banking book (IRRBB) Discussion of Basel III regulatory requirements and maturity gap analysis Overview of customer behavior, along with its impact on interest rate and liquidity risk Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits) Explorations of model risk, sensitivity analysis, and case studies The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.
Three Essays on Asset Management of Life Insurer Behavior
Author: Fu-wei HuangPublisher:
ISBN:
Category :
Languages : en
Pages : 238
Book Description
In the dissertation, we develop a contingent model to evaluate the equity of a life insurer. The dissertation complements the literature about the insurer's asset-liability matching management in three aspects: credit swap transaction, sunflower behavior, and chief executive officer (CEO) overconfidence. The common base of the research approach is based on a contingent claim analysis. The main assumptions of the three issues are, respectively, (i) the invested-asset market and the life insurance market faced by the insurer are assumed imperfectly competitive and a down-and-out call option is developed for the issue of the linkage between insurer behavior and credit swap transaction; (ii) the invested-asset market is assumed to be imperfectly competitive and a utility function based on the standard call option is developed to discuss the sunflower behavior in life insurance management; and (iii) both the invested-asset and life insurance markets are imperfectly competitive and a down-and-out call option is employed to analyze the issue of CEO overconfidence and shadow insurance. The main findings are summarized as follows, respectively. (i) Chapter 2 complements the insurance literature by analyzing how the effects of credit swap transactions on insurer spread behavior and policyholder protection, and how they might differ across various degrees of capital regulation, premature default risk and profit-sharing participation. We find that the policyholder is protected when the insurer as a protection seller benefits risk-taking compensation. (ii) Chapter 3 is the first one to develop a contingent claim model to evaluate the value of the CEO's utility function defined as the like of higher equity return and the dislike of higher equity risk to please the board. The CEO's sunflower aptitude yields lower board utility and makes the CEO more prudent to risk-taking at an increased interest margin for the provision of life insurance policies. (iii) Chapter 4 contributes to the literature on overconfidence behavior by linking shadow insurance and the government's bailout during a financial crisis. We show that there is an efficiency gain from CEO overconfidence to investment and government bailout helps insurer survival. In conclusion, it is shown that the contingent claim approach is intimately relevant to the following three issues in the dissertation: credit swap transaction, sunflower management, and CEO overconfidence.