Asset and Liability Management

Financial Risk Management

Asset and Liability Management

Risk Books December 1998

Specifications

ISBN-13
9781899332816
Publisher
Risk Books
Publication
December 1998
Format
Paperback
Jurisdiction
International ? Countri(es) for reference only

Details

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


Table of Contents

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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