Asset liability management
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 ...
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Asset liability management articles
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...
Sovereign-guaranteed loans provide yield boost for insurers
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.