Handbook Of Asset And Liability Management: From Models To Optimal Return Strategies

A quantitative, model-building approach to asset and liability management

This is a handbook for asset and liability managers that covers every part of ALM in a quantitative approach with economic explanations for each equation. It describes asset and liability management and gives a description of new accounting and reporting principles. It describes the inherent risk in a balance sheet, including the nature of the risk, the impact of the results, and how to simulate risk and hedging solutions through quantitative techniques and modeling.