Download Asset and Liability Management for Banks and Insurance by Marine Corlosquet-Habart, William Gehin, Jacques Janssen, PDF

By Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca

This e-book introduces ALM within the context of banks and insurance firms. even if this method has a middle of basic frameworks, types could range among banks and insurance firms due to the assorted dangers and pursuits concerned. The authors evaluate and distinction those methodologies to attract parallels among the commonalities and divergences of those companies and thereby supply a deeper realizing of ALM in general.

Show description

Read or Download Asset and Liability Management for Banks and Insurance Companies PDF

Best banking books

Governing Risk: The IMF and Global Financial Crises (International Political Economy)

This booklet examines the altering nature of the rules followed to advertise overseas monetary balance. in particular, it investigates the rules that the IMF in line with the Mexican, Asian, and subprime difficulty. The publication argues that those guidelines should be defined through the interplay of financial principles and ancient contexts.

Prudent Lending Restored: Securitization After the Mortgage Meltdown

There's little dispute that the loan meltdown of 2007, created through irresponsible lending and lax oversight, helped bring about the worldwide monetary drawback. Why have been those securities subsidized via subprime debt so fascinating to such a lot of possible refined traders? the reply lies in distorted incentives, opaque securitization buildings and a willingness to think that condominium costs might proceed to upward thrust indefinitely and the wish for super-normal returns.

Mergers, Acquisitions, and Other Restructuring Activities. An Integrated Approach to Process, Tools, Cases, and Solutions

Strengths distinguish this textbook from others.  One is its presentation of subjects in the contexts where they occur.  Students see varied views on topics and find out how advanced and dynamic the mergers and acquisitions atmosphere is.  the opposite is its use of present events.  Of its 72 case stories, 3/4 are new or were up to date.

Institutional Diversity in Banking: Small Country, Small Bank Perspectives

This booklet deals a comparative research of the way post-crisis restructuring has affected the evolution and clients of small, locally-oriented banks. The dialogue focuses in particular on “small” eu nations; that's, nations with diverse banking platforms, with a powerful presence of cooperative and other kinds of neighborhood banks.

Additional resources for Asset and Liability Management for Banks and Insurance Companies

Example text

Solvency II has a much wider scope because it reflects the new risk management practices to define the required capital and manage risks. In fact, the aim of Solvency II project is to review the prudential legislation for insurance and reinsurance undertakings in the EU. It introduces new, harmonized EU-wide insurance regulatory rules. More precisely, the key objectives of Solvency II are the following: – better protecting consumers and rebuilding trust in the financial system; – ensuring a high, effective and consistent level of regulation and supervision by taking into account the varying interests of all Member States and the different nature of financial institutions; – giving a greater harmonization and coherent application of rules for financial institutions and markets across the EU; – promoting a coordinated EU supervisory response.

6. Conclusion This chapter has highlighted the fact that risk management is nowadays of paramount importance, whether it be in a bank or in an insurance company. These entities are fully aware of this, since the Basel II, III and Solvency II directives ask them to quantify and control the risks inherent to their business. This chapter described the different risks modules defined by Basel and Solvency directives. They concern, at the same time, about the assets and liabilities, and are thus in direct link with ALM risks.

When this last situation is correct, the annual interest rate for a maturity T will be represented by i(T). 1, the graph of this function in a plane T-i is called the yield curve (YC). T). 49] 44 Asset and Liability Management for Banks and Insurance Companies is called the YC at time t for the considered financial market. Up to now, we have considered the special case of a flat YC for which for all t and T : R (t , T ) = i. 1. – To obtain a scenario for the YC movements, we can select a new YC or also used stochastic models generating YC in function of the parameters of the considered models such as, for example, the OrnsteirnUhlenebeck-Vasicek and Cox-Ingersoll-Roll models (see, for example [JAN 09]).

Download PDF sample

Rated 4.85 of 5 – based on 28 votes