Asset liability management
Regulators working on Pillar II guidance as well as fixed capital regime
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Asset liability management articles
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia ...
European proposal limits risk management tools to clearable swaps only, preventing options-based hedges
Regulator introduces new risk monitor to scrutinise market risks and act as early-warning indicator
With long-term bonds in short supply and falling interest rates putting pressure on earnings, Asian insurers are considering giving up on asset-liability matching in order to chase yield. Blake Ev...
Ultra-low rates forcing companies to shift focus from asset-liability matching
Race to the bottom
Concerns Solvency II-based risk-free curve could be distorted by speculators as market begins to adjust ALM hedges
The new breed
Insurers developing new products to reduce exposure to low rates
No economic need for initial margin on non-centrally cleared derivatives, argues Insurance Europe
Derivatives and structured products remain unpopular with Thai insurers looking to hedge their liabilities following the introduction of a risk-based capital framework
With the price of over-the-counter swaps predicted to increase as new derivatives rules take effect, futures are being touted as an efficient alternative hedging tool, but are they a perfect fit? Bl...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.