Asset liability management
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
First public consultation expected this month in long-running project
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More Asset liability management articles
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
QIS was due to get under way last month but will now start in mid-2015
First consultation paper on banking book interest rate exposure is expected in March
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...
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
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