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Asset and Liability Management for Banks and Insurance Companies 1st Edition by Marine Corlosquet Habart, William Gehin, Jacques Janssen, Raimondo Manca ISBN 978-1848218833 1848218834

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Asset and Liability Management for Banks and Insurance Companies 1st Edition Marine Corlosquet-Habart Digital Instant Download

Author(s): Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca
ISBN(s): 9781848218833, 1848218834
Edition: 1
File Details: PDF, 2.25 MB
Year: 2015
Language: english
SKU: EB-5258558 Category: Tags: , , ,

Asset and Liability Management for Banks and Insurance Companies 1st Edition by  Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca – Ebook PDF Instant Download/Delivery: 978-1848218833, 1848218834
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Product details: 

ISBN 10: 1848218834

ISBN 13: 978-1848218833

Author: Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca

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. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.

Table of contents: 

Chapter 1: Definition of ALM in the Banking and Insurance Areas

  • Introduction

  • Brief History of ALM for Banks and Insurance Companies

  • Missions of the ALM Department

  • Conclusion

Chapter 2: Risks Studied in ALM

  • Introduction

  • Risks in Banks under Basel II and III

  • Stress Tests

  • Risks in Insurance under Solvency II

  • Commonalities and Differences

  • Conclusion

Chapter 3: Durations (Revisited) and Scenarios for ALM

  • Introduction

  • Duration and Convexity Risk Indicators

  • Scenarios, Matching, Yield Curve, Equity Sensitivity, Stochastic Models, etc.

  • Conclusion

Chapter 4: Building and Use of an ALM Internal Model in Insurance Companies

  • Introduction

  • Asset Model

  • Liability Model

  • Structure of an ALM Study

  • Case Study

  • Conclusion

Chapter 5: Building and Use of ALM Internal Models in Banks

  • Introduction

  • Case 1: Reduction of Gaps

  • Case 2: A Stochastic Internal Model

  • Calibration of the Models

  • Example

  • Key Points for Building Internal Models

  • Conclusion

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Tags: Marine Corlosquet Habart, William Gehin, Jacques Janssen, Raimondo Manca, Asset and Liability, Insurance Companies