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Asset and Liability Management

Asset and Liability Management

Asset and Liability Management

Publisher: Risk Books
ISBN: 9781899332816
Published In: December 1998
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Description
Contents

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A reference title on the ongoing synthesis of traditional techniques and financial risk management.

Examines the scope of the asset and liability management function
New research on a range of topics including data warehousing and credit risk models

Foreword by Robert Jarrow and Donald van Deventer

Integrating the role of risk management within ALM

Michael Ong

Selected ALM issues

Jean-François Boulier

A unified VAR approach

Emilio Barone

Interest rate model risk

Rajna Gibson, François-Serge Lhabitant, Nathalie Pistre and Denis Talay

Integrating interest rate risk and credit risk in ALM

Robert Jarrow and Donald van Deventer

Modelling and managing credit risk

Derek Chan, Harry Huang, Rui Kan, Ashok Varikooty, and Henry Wang

Some estimations on the value of volatility

Shenglin Lu

Risk-sensitive dynamic asset allocation

Tomasz Bielecki and Stanley Pliska

Developing and implementing a data warehouse

John McCann

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