Asset and Liability Management Handbook

  • Gautam Mitra
  • Katharina Schwaiger

Table of contents

  1. Front Matter
    Pages i-xxxv
  2. Introduction

    1. Gautam Mitra, Katharina Schwaiger
      Pages 1-12
  3. ALM Models Applied to Banks

    1. Front Matter
      Pages 13-13
    2. Sarp Kaya Acar, Ralf Korn, Kalina Natcheva-Acar, Jörg Wenzel
      Pages 62-76
  4. ALM Models Applied to Insurance Companies

    1. Front Matter
      Pages 77-77
    2. Michael Dempster, Elena Medova, Michael Villaverde
      Pages 79-109
    3. Xi Yang, Jacek Gondzio, Andreas Grothey
      Pages 110-138
  5. Alm Models Applied to Pension Funds

    1. Front Matter
      Pages 139-139
    2. Frank Sortino, David Hand
      Pages 141-149
    3. Con Keating
      Pages 150-180
    4. Siti Sheikh Hussin, Gautam Mitra, Diana Roman, Wan Kamaruzaman, Wan Ahmad
      Pages 181-207
    5. David Blake, Andrew Cairns, Kevin Dowd
      Pages 234-279
    6. John M. Mulvey, Woo Chang Kim, Yi Ma
      Pages 280-307
    7. Garud Iyengar, Alfred Ka, Chun Ma
      Pages 308-330
    8. Katharina Schwaiger, Cormac Lucas, Gautam Mitra
      Pages 331-351
  6. ALM Models Applied to Other Areas of Financial Planning

    1. Front Matter
      Pages 407-407
    2. Michael Dempster, Elena Medova
      Pages 409-432
    3. Noël Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann
      Pages 443-468
  7. Back Matter
    Pages 495-515

About this book


Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.


Investment management Pension Funds Portfolio risk management

Editors and affiliations

  • Gautam Mitra
    • 1
  • Katharina Schwaiger
    • 1
  1. 1.Brunel UniversityUK

Bibliographic information