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 universal...
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 and...
More Asset liability management articles
European proposal limits risk management tools to clearable swaps only, preventing options-based hedges
Rising long-term interest rates have left an unexpected bad taste in UK non-life insurers’ mouths. Insurers are adjusting to the new market conditions and high volatility, and are shortening the duration of their bond portfolios in a bid to insulate...
Regulator introduces new risk monitor to scrutinise market risks and act as early-warning indicator
Insurers desperate for a change to the low interest rate environment might want to be careful what they wish for, as higher interest rates could lead to an increase in policy surrenders. Hugo Coelho reports on how some insurers have started to adjust...
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 Evans-Pritchard reports
Ultra-low rates forcing companies to shift focus from asset-liability matching
Dutch insurers have strongly resisted pressure to drop guarantee levels despite plunging interest rates and mounting regulatory concerns. With surplus capital quickly being eaten up to support these uneconomic guarantees, how long can the Dutch market...
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.
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014