Asset liability management
Tail-risk skewness, rather than volatility, is correlated with risk premiums
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
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Asset liability management articles
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
The new breed
Insurers developing new products to reduce exposure to low rates
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.